Detalles MARC
| 000 -LEADER |
|---|
| fixed length control field |
05927nam a22004933i 4500 |
| 001 - CONTROL NUMBER |
|---|
| control field |
EBC1909847 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20221108184918.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS |
|---|
| fixed length control field |
m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
|---|
| fixed length control field |
cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
211129s2014 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781137414502 |
| Qualifying information |
(electronic bk.) |
|
|---|
| Canceled/invalid ISBN |
9781137414496 |
| 035 ## - |
|---|
| System control number |
(MiAaPQ)EBC1909847 |
|
|---|
| System control number |
(Au-PeEL)EBL1909847 |
|
|---|
| System control number |
(CaPaEBR)ebr11003004 |
|
|---|
| System control number |
(OCoLC)894272224 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MiAaPQ |
| Language of cataloging |
eng |
| Description conventions |
rda |
| -- |
pn |
| Transcribing agency |
MiAaPQ |
| Modifying agency |
MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG106 |
| Item number |
.R445 2014 |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.0151 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Reghai, A. |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Quantitative Finance : |
| Remainder of title |
Back to Basic Principles / |
| Statement of responsibility, etc. |
A. Reghai. |
| 264 #1 - |
|---|
| Place of production, publication, distribution, manufacture |
London : |
| Name of producer, publisher, distributor, manufacturer |
Palgrave Macmillan UK, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2014. |
|
|---|
| Date of production, publication, distribution, manufacture, or copyright notice |
©2015. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (247 pages) |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Applied Quantitative Finance Ser. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Foreword I -- Foreword II -- Acknowledgments -- 1 FinancialModeling -- Introduction -- 2 AboutModeling -- A Philosophy ofmodeling -- B An example from physics and some applications in finance -- 3 From Black & Scholes to SmileModeling -- A Study of derivatives under theBlack&Scholesmodel -- Methodology -- The search for convexity -- Vanilla European option -- Numerical application -- Price scenarios -- Delta gamma scenarios: -- European binary option -- Price Scenario -- Delta and gamma scenarios -- American binary option -- Numerical application -- Price scenario -- Delta and gamma scenarios -- Barrier option -- Price scenario -- Delta and gamma scenarios -- Asian option -- Numerical application -- Price scenario -- Delta and gamma scenarios -- When is it possible to useBlack&Scholes -- B Study of classical Smilemodels -- Black&Scholesmodel -- Termstructure Black&Scholes -- MonteCarlo simulation -- Terminal smilemodel -- Replicationapproach (an almostmodel-free approach) -- MonteCarlo simulation (direct approach) -- MonteCarlo simulation (fastmethod) -- Classic example -- Separable local volatility -- Termstructure of parametric slices -- Dupire/Derman&Kani local volatilitymodel -- Stochastic volatilitymodel -- C Models, advanced characteristics and statistical features -- Local volatilitymodel -- Stochastic volatilitymodel -- 4 What is the Fair Value in the Presence of the Smile? -- A What is the value corresponding to the cost of hedge? -- TheDelta spot ladder for two barrier options -- The vega volatility ladder -- The vega spot ladder -- Conclusion -- 5 Mono Underlying Risk Exploration -- Dividends -- Models: discrete dividends -- Models: cash amount dividendmodel -- Models: proportional dividendmodel -- Models:mixed dividendmodel. |
|
|---|
| Formatted contents note |
Models: dividend toxicity index -- Statistical observations on dividends -- Interest ratemodeling -- Models:why dowe need stochastic interest rates? -- Models: simple hybridmodel -- Models: statistics and fair pricing -- Forward skewmodeling -- The local volatilitymodel is not enough -- Local volatility calibration -- Alpha stable process -- Truncated alpha stable invariants -- Local volatility truncated alpha stable process -- 6 A General Pricing Formula -- 7 Multi-Asset Case -- A Study of derivatives under the multi-dimensional Black & Scholes -- Methodology -- PCAfor PnL explanation -- Eigenvalue decomposition for symmetric operators -- Stochastic application -- Profit and loss explanation -- The source of the parameters -- Basket option -- Worst of option (wo: call) -- Best of option(Bo: put) -- Other options (Best of call andworst of put) -- Model calibrationusing fixed-point algorithm -- Model estimation using an envelope approach -- Conclusion -- 8 Discounting and General Value Adjustment Techniques -- Full and symmetric collateral agreement -- Perfect collateralization -- Applications -- Repomarket -- Optimal posting of collateral -- Partial collateralization -- Asymmetric collateralization -- 9 Investment Algorithms -- What is a good strategy? -- Asimple strategy -- Reverse the time -- Avoidthis datawhen learning -- Strategies are assets -- Multi-asset strategy construction -- Signal detection -- Predictionmodel -- Riskminimization -- 10 Building Monitoring Signals -- A Fat-tail toxicity index -- B Volatility signals -- Nature of the returns -- The dynamic of the returns -- Signal definition. -- Asset and strategies cartography -- Assetmanagement -- C Correlation signals -- Simple basketmodel -- Estimating correlation level -- Implied correlation skew -- Multi-dimensional stochastic volatility -- Local correlationmodel -- General Conclusion. |
|
|---|
| Formatted contents note |
Solutions -- Bibliography -- Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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. |
| 588 ## - |
|---|
| Source of description note |
Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) |
|---|
| Local note |
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2021. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Financial engineering. |
| 655 #4 - |
|---|
| Genre/form data or focus term |
Electronic books. |
| 776 08 - |
|---|
| Relationship information |
Print version: |
| Main entry heading |
Reghai, A. |
| Title |
Quantitative Finance |
| Place, publisher, and date of publication |
London : Palgrave Macmillan UK,c2014 |
| International Standard Book Number |
9781137414496 |
| 797 2# - |
|---|
| Corporate name or jurisdiction name as entry element |
ProQuest (Firm) |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Applied Quantitative Finance Ser. |
| 856 ## - |
|---|
| Uniform Resource Identifier |
https://login.ezproxy.pucpr.edu/login?url=https://ebookcentral.proquest.com/lib/pucpr-ebooks/detail.action?docID=1909847 |
| Link text |
Acceso Remoto |
|
|---|
| Uniform Resource Identifier |
https://ebookcentral.proquest.com/lib/pucpr-ebooks/detail.action?docID=1909847 |
| Link text |
Acceso en el Campus PUCPR |
| 942 ## - |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Libro electrónico |