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A Physicist's Approach
Jan W. Dash
ISBN: 9789812387127
Format: Hardback
Publisher:World Scientific Publishing Co Pte Ltd
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This book is designed for scientists and engineers desiring to learn quantitative finance, and for quantitative analysts and finance graduate students. Parts will be of interest to research academics.
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 self-contained. Real-life comments on "life as a quant" are included. This book is designed for scientists and engineers desiring to learn quantitative finance, and for quantitative analysts and finance graduate students. Parts will be of interest to research academics.
| ISBN | 9812387129 | | Pages | 500 | | ISBN13 | 9789812387127
(What's this?) | | Volumes | 1 | | Publisher | World Scientific Publishing Co Pte Ltd | | Weight (grammes) | 1256 | | Imprint | World Scientific Publishing Co Pte Ltd | | Published in | London | | Format | Hardback | | Height (mm) | 230 | | Publication date | 31 Aug 2004 | | Width (mm) | 171 | | Library of Congress | HG106.D37 | | Spine width (mm) | 47 | | DEWEY | 332.632042 | | Academic level | General, Tertiary education | | DEWEY edition | DC22 | |
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| 1 | | Introduction and outline | | 3 | | 2 | | Overview (tech. index 1/10) | | 7 | | 3 | | An exercise (tech. index 1/10) | | 19 | | 4 | | Equity options (tech. index 3/10) | | 27 | | 5 | | FX options (tech. index 4/10) | | 35 | | 6 | | Equity volatility skew (tech. index 6/10) | | 53 | | 7 | | Forward curves (tech. index 4/10) | | 73 | | 8 | | Interest-rate swaps (tech. index 3/10) | | 85 | | 9 | | Bonds : an overview (tech. index 2/10) | | 111 | | 10 | | Interest-rate caps (tech. index 4/10) | | 123 | | 11 | | Interest-rate swaptions (tech. index 5/10) | | 137 | | 12 | | Portfolios and scenarios (tech. index 3/10) | | 151 | | 13 | | A complex CVR option (tech. index 5/10) | | 161 | | 14 | | Two more case studies (tech. index 5/10) | | 183 | | 15 | | More exotics and risk (tech. index 5/10) | | 201 | | 16 | | A pot pourri of deals (tech. index 5/10) | | 219 | | 17 | | Single barrier options (tech. index 6/10) | | 243 | | 18 | | Double barrier options (tech. index 7/10) | | 257 | | 19 | | Hybrid 2-D barrier options (tech. index 7/10) | | 265 | | 20 | | Average-rate options (tech. index 8/10) | | 271 | | 21 | | Fat tail volatility (tech. index 5/10) | | 283 | | 22 | | Correlation matrix formalism; the N-sphere (tech. index 8/10) | | 295 | | 23 | | Stressed correlations and random matrices (tech. index 5/10) | | 307 | | 24 | | Optimally stressed PD correlation matrices (tech. index 7/10) | | 319 | | | More... | | |
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