03003nam a2200349Ia 450000100070000000500170000700800410002401000170006502000290008202000310011104000230014204100080016504200080017305000240018108200180020508400230022310000180024624501040026426400440036830000660041233600080047833700160048633800190050249000330052150504420055452013920099665000410238865000520242965500350248171000160251685601210253233382420170126115517.0141023s2014    nyua          000 0 eng    a  2014030381  z9781137414496 (hardback)  a9781137414502 (electronic)  aDLCbengcDLCerda  aspa  apcc00aHG106b.R445 2014eb00a332.01/51223  aBUS0270002bisacsh1 aReghai, Adil.10aQuantitative financeh[electronic resource]bback to basic principlescAdil Reghai NATIXIS, France. 1aNew York, NYbPalgrave Macmillanc2014.  aone online resource (xxiii, 223 pages)billustrationsc24 cm.  btxt  bn2rdamedia  bnc2rdacarrier0 aApplied quantitative finance8 aMachine generated contents note: -- 1. Financial Modeling -- 2. About Modeling -- 3. From Black & Scholes to the Emergence of the Smile Modeling -- 4. What is the Fair Value in the Presence of the Smile? -- 5. Mono Underlying Risk Exploration -- 6. A General Pricing Formula -- 7. Multi Asset Case -- 8. Discounting and General Value Adjustment Techniques -- 9. Investment Algorithms -- 10. Building Monitoring Signals -- 11. Conclusion.  a"The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. The era of stochastic calculus is over and the time of Ito derivation is at an end. Today, quants need a broad modeling skillset - one that transcends mathematics to price and hedge financial products safely and effectively, but that also takes into account that we now live in a world of more frequent crises, fatter tail risk and the optimized search for alpha. 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. It begins by looking at approaches to vanilla and exotic options - including barrier, binary and American options. It then addresses the Black-Scholes conundrum - is it effective? The book then progresses to look at other pricing and valuation models commonly used in the industry, including Terminal Smile, stochastic volatility and more before confronting all the key challenges in model calibration and implementation. Written for quantitative practitioners in banks and asset managers, Quantitative Finance provides a toolkit and robust methodology to confront new and unforeseen pricing and valuation challenges in the light of the new paradigm. "--zProvided by publisher. 0aFinancexMathematical models.2Local 7aBUSINESS & ECONOMICS / Finance.2bisacsh2Local07aElectronic books2local2Local2 aEbrary inc.40uhttp://site.ebrary.com/lib/pucpr/docDetail.action?docID=110030043ebraryzPresione para acceder el libro en línea.