back to basic principles Reghai, Adil. creator Ebrary inc text Electronic books nyu 2014 monographic eng spa

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one online resource (xxiii, 223 pages) illustrations 24 cm. "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. "-- 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. Adil Reghai NATIXIS, France. Finance Mathematical models BUSINESS & ECONOMICS / Finance HG106 .R445 2014eb 332.01/51 BUS027000 9781137414502 (electronic) 2014030381 http://site.ebrary.com/lib/pucpr/docDetail.action?docID=11003004 http://site.ebrary.com/lib/pucpr/docDetail.action?docID=11003004 DLC 141023 20170126115517.0 333824 eng