Descripción del título
Frontiers in quantitative f...
The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling
Monografía
monografia Rebiun28344325 https://catalogo.rebiun.org/rebiun/record/Rebiun28344325 m o d | cr -n--------- 080623s2009 njua ob 001 0 eng 2008026309 1-281-93865-3 9786611938659 1-118-26691-9 0-470-40716-6 CBUC 991010730041206709 MiAaPQ MiAaPQ MiAaPQ eng 332.015195 Frontiers in quantitative finance electronic resource] volatility and credit risk modeling Rama Cont, editor Hoboken, N.J. John Wiley & Sons c2009 Hoboken, N.J. Hoboken, N.J. John Wiley & Sons 1 online resource (319 p.) 1 online resource (319 p.) Text txt computer c online resource cr Wiley finance series Description based upon print version of record Includes bibliographical references and index Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling; Contents; Preface; About the Editor; About the Contributors; Part I: Option Pricing and Volatility Modeling; Chapter 1: A Moment Approach to Static Arbitrage; Chapter 2: On Black-Scholes Implied Volatility at Extreme Strikes; Chapter 3: Dynamic Properties of Smile Models; Chapter 4: A Geometric Approach to the Asymptotics of Implied Volatility; Chapter 5: Pricing, Hedging, and Calibration in Jump-Diffusion Models; Part II: Credit Risk; Chapter 6: Modeling Credit Risk Chapter 7: An Overview of Factor Modeling for CDO PricingChapter 8: Factor Distributions Implied by Quoted CDO Spreads; Chapter 9: Pricing CDOs with a Smile: The Local Correlation Model; Chapter 10: Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches; Chapter 11: Forward Equations for Portfolio Credit Derivatives; Index The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling English Finance- Mathematical models Derivative securities- Mathematical models Electronic books Cont, Rama 0-470-29292-X Wiley finance series