000			05927nam a22004933i 4500
001			EBC1909847
003			MiAaPQ
005			20221108184918.0
006			m o d |
007			cr cnu||||||||
008			211129s2014 xx o ||||0 eng d
020			_a9781137414502 _q(electronic bk.)
020			_z9781137414496
035			_a(MiAaPQ)EBC1909847
035			_a(Au-PeEL)EBL1909847
035			_a(CaPaEBR)ebr11003004
035			_a(OCoLC)894272224
040			_aMiAaPQ _beng _erda _epn _cMiAaPQ _dMiAaPQ
050		4	_aHG106 _b.R445 2014
082	0		_a332.0151
100	1		_aReghai, A. _eauthor
245	1	0	_aQuantitative Finance : _bBack to Basic Principles / _cA. Reghai.
264		1	_aLondon : _bPalgrave Macmillan UK, _c2014.
264		4	_c©2015.
300			_a1 online resource (247 pages)
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aApplied Quantitative Finance Ser.
505	0		_aForeword 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.
505	8		_aModels: 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.
505	8		_aSolutions -- Bibliography -- Index.
520			_aThe 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			_aDescription based on publisher supplied metadata and other sources.
590			_aElectronic 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	_aFinancial engineering.
655		4	_aElectronic books.
776	0	8	_iPrint version: _aReghai, A. _tQuantitative Finance _dLondon : Palgrave Macmillan UK,c2014 _z9781137414496
797	2		_aProQuest (Firm)
830		0	_aApplied Quantitative Finance Ser.
856			_uhttps://login.ezproxy.pucpr.edu/login?url=https://ebookcentral.proquest.com/lib/pucpr-ebooks/detail.action?docID=1909847 _yAcceso Remoto
856	4	0	_uhttps://ebookcentral.proquest.com/lib/pucpr-ebooks/detail.action?docID=1909847 _yAcceso en el Campus PUCPR
942			_2lcc _c7
999			_c296938 _d296938