Post-crisis Quant Finance
Home > Business and Economics > Finance and accounting > Finance and the finance industry > Investment and securities > Post-crisis Quant Finance
1%
Post-crisis Quant Finance

Post-crisis Quant Finance


     0     
5
4
3
2
1



Out of Stock


Notify me when this book is in stock
X
About the Book

Table of Contents:
Introduction Mauro Cesa (Risk Magazine) Part 1 - Derivatives Pricing 1 - Smile dynamics IV Lorenzo Bergomi (Societe Generale) 2 - Funding beyond discounting: collateral agreements and derivatives pricing Vladimir Piterbarg (Barclays Capital) 3 - Two curves, one price Marco Bianchetti (Intesa Sanpaolo Bank) 4 - A Libor market model with a stochastic basis Fabio Mercurio (Bloomberg) 5 - Volatility interpolation Jesper Andreasen and Brian Huge (Danske Bank) 6 - Random grids Jesper Andreasen and Brian Huge (Danske Bank) 7 - Being particular about calibration Julien Guyon (Bloomberg) and Pierre Henry-Labordere (Societe Generale) 8 - Cooking with collateral Vladimir Piterbarg (Barclays Capital) Part 2 - Asset and Risk Management 9 - A dynamic model for hard-to-borrow stocks Marco Avellaneda (New York University) and Mike Lipkin (Colombia University and Katama Trading) 10 - Shortfall factor contributions Richard Martin, AHL, and Roland Ordovas (Banco Santander) 11 - Stressed in Monte Carlo Christian Fries (DZ Bank) 12 - A new breed of copulas for risk and portfolio management Attilio Meucci (Kepos Capital) 13 - A historical-parametric hybrid VAR Robin Stuart (State Street Corporation Global Markets) 14 - Impact-adjusted valuation and the criticality of leverage Jean-Philippe Bouchaud (Capital Fund Management Paris), Fabio Caccioli (Santa Fe Institute) and Doyne Farmer (Institute for New Economic Thinking and University of Oxford) Part 3 - Counterparty Credit Risk 15 - Being two-faced over counterparty credit risk Jon Gregory (Solum Financial Partners) 16 - Real-time counterparty credit risk management in Monte Carlo Luca Capriotti, Jacky Lee (Credit Suisse) and Matthew Peacock (Axon Strategies) 17 - Counterparty risk capital and CVA Michael Pykhtin (Federal Reserve Board) 18 - Partial differential equation representations of options with bilateral counterparty risk and funding costs Christoph Burgard and Mats Kjaer (Barclays Capital) 19 - Close-out convention tensions Damiano Brigo (King's College London) and Massimo Morini (Banca IMI) 20 - Cutting CVA's complexity Pierre Henry-Labordere (Societe Generale)

About the Author :
Mauro Cesa Mauro Cesa is the technical editor of the Risk Management and Alternative Investment (RMAI) division at Incisive Media in London. Since 2009, he has been responsible for the Cutting Edge section of Risk, Energy Risk, Insurance Risk and ETF Risk magazines. Cutting Edge publishes peer-reviewed quantitative finance articles with a focus on the pricing and hedging of financial instruments, as well as risk management relevant to investment banking, buy-side industry, energy firms and insurance companies. Before joining Incisive Media in 2007, Mauro worked with the quantitative asset management team at Eurizon Capital in Milan on equity and fixed income investment models for mutual funds and pension funds. He studied economics at Trieste University and Aarhus University, and holds an MA in quantitative finance from Brescia University.


Best Sellers


Product Details
  • ISBN-13: 9781782720072
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 235 mm
  • ISBN-10: 1782720073
  • Publisher Date: 25 Mar 2013
  • Binding: Paperback
  • Width: 155 mm


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Post-crisis Quant Finance
Risk Books -
Post-crisis Quant Finance
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Post-crisis Quant Finance

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals


    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!