03179nam a2200373Ia 4500 333824 20170126115517.0 141023s2014 nyua 000 0 eng 2014030381 9781137414496 (hardback) 9781137414502 (electronic) DLC eng DLC rda spa pcc HG106 .R445 2014eb 332.01/51 23 BUS027000 bisacsh Reghai, Adil. 268273 Quantitative finance [electronic resource] back to basic principles Adil Reghai NATIXIS, France. New York, NY Palgrave Macmillan 2014. one online resource (xxiii, 223 pages) illustrations 24 cm. txt n rdamedia nc rdacarrier Applied quantitative finance Machine 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. "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. "-- Provided by publisher. Finance Mathematical models. 96504 Local BUSINESS & ECONOMICS / Finance. bisacsh 206124 Local Electronic books local 91167 Local Ebrary inc. 219363 http://site.ebrary.com/lib/pucpr/docDetail.action?docID=11003004 ebrary Presione para acceder el libro en línea. 7 HG106 .R445 2014eb 250254 250254 0 0 lc 0 HG_106_000000000000000__R445_2014EB 0 eb 213167 12 12 45 2016-05-27 GLOBAL ONLINE BIBIOGRAPHIC INFORMATION 150.00 537571 0 HG106 .R445 2014eb 50000003265682 2016-05-27 00:00:00 r:333824 7 0 0 ddc 0 332_015000000000000 0 432036 1 1 45 2022-08-24 0 332.015 60000010173257 2022-08-24 00:00:00 2022-08-24 7