Quantitative Finance and Risk Management: A Physicist's Approach
Written by a physicist with over 15 years of experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or research papers. Both standard and new results are presented. A "Technical Index" indicates the mathematical level — from zero to PhD mathematical background — for each section. The finance aspect in each section is...
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Written by a physicist with 16 years of experience as a director of quantitative analysis on Wall Street, this book presents the theory and practice of quantitative finance and risk for scientists, engineers, quantitative analysts, and finance graduate students, delving into aspects not usually covered in textbooks and research papers. Both standard and new results are presented. Presentation for both finance and math is self-contained, and a "technical index" indicates the mathematical level, from zero to PhD, for each chapter. The writing style is informal and often humorous. Annotation ©2004 Book News, Inc., Portland, OR
Standard and Advanced Theory and Practical Applications in Fixed Income, Equities, FX Quantitative Finance and Risk Management Topics: Traditional and Exotic Derivatives, Market Risk, Credit Issuer Risk, Stressed Correlation Matrices, Fat Tails, Stressed/Enhanced VAR, Model Risk/Quality Assurance, Numerical Techniques, Deals/Portfolios, Systems, Data, Economic Capital, Reggeon Field Theory, A Function Toolkit Case Studies in Corporate Finance and Options "Life as a Quant": Communication Issues, Sociology, Stories, Advice Risk Lab: The Nuts and Bolts of Risk Management Research Topic: The Macro-Micro Model Producing Realistic Yield-Curve Movements, While Combining Aspects of Economics and Finance (with Multiple Time Scales, Multiple Factors, Quasi-Random Macro Trends, Strong Mean-Reverting Micro Trading Fluctuations, Occasional Jumps) Feynman Path Integrals, Green Functions, and Options
