Rama Cont – Frontiers in Quantitative Finance. Volatility & Credit Risk Modeling

Description

The Petit D’euner de la Finance-which creator Rama Cont has been co-organizing in Paris since 1998-is a widely known quantitative finance seminar that has progressively turn into a platform for the trade of concepts between the tutorial and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a number of latest displays in the Petit D’euner de la Finance. In this ebook, main quants and educational researchers cowl crucial rising points in quantitative finance and concentrate on portfolio credit score danger and volatility modeling.

From the Inside Flap

The Petit Déjeuner de la Finance—which Rama Cont has been co-organizing in Paris since 1998—is a widely known quantitative finance seminar that has progressively turn into a platform for the trade of concepts between the tutorial and practitioner communities in quantitative finance. This seminar has included a prestigious checklist of worldwide audio system who’re thought-about main contributors to latest developments in quantitative finance.

Frontiers in Quantitative Finance is a number of latest displays in the Petit Déjeuner de la Finance. Leading quants and educational researchers cowl crucial rising points in quantitative finance and concentrate on portfolio credit score danger and volatility modeling.

This complete quantity is split into two elements. The first half (Chapters 1–5) offers with advances in choice pricing and volatility modeling in the context of fairness and index derivatives. Topics embody exams for static arbitrage, asymptotics of implied volatility, jump-diffusion fashions, variance swaps, and cliquet choices. The second half (Chapters 6–11) covers latest advances in pricing fashions for credit score derivatives. Topics right here embody structural vs. hazard fee fashions, issue fashions and top-down fashions for portfolio credit score derivatives, and ahead equations for CDO pricing.

Contributors to this quantity embody Areski Cousin, Alexandre d’Aspremont, Shalom Benaim, Lorenzo Bergomi, Peter Friz, Kay Giesecke, Pierre Henry-Labordère, Jean-Paul Laurent, Roger Lee, Chris Rogers, Ioana Savescu, Erik Schlögl, Lutz Schlögl, Peter Tankov, Julien Turc, Philippe Very, and Ekaterina Voltchkova.

For quants, danger managers, consultants, graduate college students in quantitative finance, hedge fund managers, and teachers, Frontiers in Quantitative Finance is a useful information to the state-of-the-art information in credit score danger and volatility modeling.