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Bøger i Applied Quantitative Finance serien

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  • - Theory and Practice
    af Youssef Elouerkhaoui
    449,95 - 690,95 kr.

    The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments).

  • - Theory and Cases
    af Stefano Fiorenzani, Enrico Edoli & Tiziano Vargiolu
    1.070,95 - 1.110,95 kr.

    This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

  • - Back to Basic Principles
    af Adil Reghai
    550,95 - 907,95 kr.

    The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets.

  • - Foundations, Evolution and Implementation
    af Marc Henrard
    695,95 - 988,95 kr.

    Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.

  • - Interest Rate and Credit Pricing
    af Chris Kenyon
    439,95 - 712,95 kr.

    The credit and sovereign debt crises have fundamentally changed the way participants in the global financial markets perceive credit risk. In market practice this is most directly visible from significant bases throughout the interest rate world, especially tenor bases, cross-currency bases, and bond-CDS bases. This means that the curve used for discounting is no longer the curve used for LIBOR (aka Fixing Curve or Forwarding Curve). In the last two years a consensus has emerged that this multi-curve pricing is now standard.The crises have also altered the perception of banks and governments - they are no longer regarded as zero-risk counterparties. Now both sides of an uncollateralized trade need to consider, and price in, the risk that the other defaults: my CVA is your DVA. Even collateralization does not remove pricing problems: when you post collateral how much do you have to pay for it? This FVA is not symmetric in many ways: whatever it costs you to source it, your counterparty will only pay you OIS. Even worse is that your funding costs are unlikely to be the same as those of all your counterparties.Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing is the first book to illustrate new ways of pricing interest rate and credit products in the post-crisis markets. Written by two seasoned practitioners, it will enable the readers to understand the many different versions of credit and basis spreads, and to build the appropriate discount curves that take these spreads into account so that collateralized derivatives will be priced correctly. The authors guide the reader through the complexity added by OIS discounting and multi-curve pricing as well as CVA, DVA and FVA. Derivatives do not exist in a vacuum. Regulators worldwide have reacted strongly to the crises with the introduction of Basel III. Hitherto quants could ignore capital costs and charges, but as of January 2013 this world is gone. Discounting, LIBOR, CVA and Funding explains details of Basel III that are important for pricing, especially around the CVA VaR and default exposure capital charges.This book will be required reading for quantitative practitioners who need to keep up-to-date with the latest developments in derivatives pricing, and will also be of interest to academic researchers and students interested in how instruments are priced in practice.

  • - A Handbook for Practitioners
    af S. Scandizzo
    1.427,95 kr.

    This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.

  • - A Comprehensive Guide for Industry Quants
    af Zareer Dadachanji
    991,95 kr.

    Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options.

  • - Markets, Models and Methods
    af Oliver Brockhaus
    853,95 kr.

    this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective.

  • - Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting
    af Roland Stamm, Roland Lichters & Donal Gallagher
    1.008,95 kr.

    This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

  • - With Examples Implemented in Python
    af Peter Larkin, Christian Crispoldi & Gérald Wigger
    893,95 kr.

    Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model.

  • - Analytics, Econometrics, and Numerics
    af Daniel Mahoney
    1.167,95 kr.

    Commodity markets present several challenges for quantitative modeling. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult.

  • - Understanding, Building and Managing Counterparty, Funding and Capital Risk
    af I. Ruiz
    1.201,95 kr.

    Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.

  • - A Practitioner's Guide
    af L. Krippner
    757,95 kr.

    Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.

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