Quantitative finance and risk management : a physicist's approach /

Quantitative finance and risk management : a physicist's approach /

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Bibliographic Details
Author / Creator:Dash, Jan W.
Imprint:River Edge, NJ : World Scientific Pub., c2004.
Description:xix, 781 p. : ill. ; 24 cm.
Language:English
Subject:
Finance -- Mathematical models.
Risk management -- Mathematical models.
Finance -- Mathematical models.
Risk management -- Mathematical models.
Format: Print Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/5607249
Hidden Bibliographic Details
ISBN:9812387129 (alk. paper)
Notes:Includes bibliographical references and index.

MARC

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505 0 0 |g 1.  |t Introduction and outline --  |g 2.  |t Overview (tech. index 1/10) --  |g 3.  |t An exercise (tech. index 1/10) --  |g 4.  |t Equity options (tech. index 3/10) --  |g 5.  |t FX options (tech. index 4/10) --  |g 6.  |t Equity volatility skew (tech. index 6/10) --  |g 7.  |t Forward curves (tech. index 4/10) --  |g 8.  |t Interest-rate swaps (tech. index 3/10) --  |g 9.  |t Bonds : an overview (tech. index 2/10) --  |g 10.  |t Interest-rate caps (tech. index 4/10) --  |g 11.  |t Interest-rate swaptions (tech. index 5/10) --  |g 12.  |t Portfolios and scenarios (tech. index 3/10) --  |g 13.  |t A complex CVR option (tech. index 5/10) --  |g 14.  |t Two more case studies (tech. index 5/10) --  |g 15.  |t More exotics and risk (tech. index 5/10) --  |g 16.  |t A pot pourri of deals (tech. index 5/10) --  |g 17.  |t Single barrier options (tech. index 6/10) --  |g 18.  |t Double barrier options (tech. index 7/10) --  |g 19.  |t Hybrid 2-D barrier options (tech. index 7/10) --  |g 20.  |t Average-rate options (tech. index 8/10) --  |g 21.  |t Fat tail volatility (tech. index 5/10) --  |g 22.  |t Correlation matrix formalism; the N-sphere (tech. index 8/10) --  |g 23.  |t Stressed correlations and random matrices (tech. index 5/10) --  |g 24.  |t Optimally stressed PD correlation matrices (tech. index 7/10) --  |g 25.  |t Models for correlation dynamics, uncertainties (tech. index 6/10) --  |g 26.  |t Plain-vanilla VAR (tech. index 4/10) --  |g 27.  |t Improved/enhanced/stressed VAR (tech. index 5/10) --  |g 28.  |t VAR, CVAR, CVAR volatility formalism (tech. index 7/10) --  |g 29.  |t VAR and CVAR for two variables (tech. index 5/10) --  |g 30.  |t Corporate-level VAR (tech. index 3/10) --  |g 31.  |t Issuer credit risk (tech. index 5/10) --  |g 32.  |t Model risk overview (tech. index 3/10) --  |g 33.  |t Model quality assurance (tech. index 4/10) --  |g 34.  |t Systems issues overview (tech. index 2/10) --  |g 35.  |t Strategic computing (tech. index 3/10) --  |g 36.  |t Qualitative overview of data issues (tech. index 2/10) --  |g 37.  |t Correlations and data (tech. index 5/10) --  |g 38.  |t Wishart's theorem and Fisher's transform (tech. index 9/10) --  |g 39.  |t Economic capital (tech. index 4/10) --  |g 40.  |t Unused-limit risk (tech. index 6/10) --  |g 41.  |t Path integrals and options : overview (tech. index 4/10) --  |g 42.  |t Path integrals and options I : introduction (tech. index 7/10) --  |g 43.  |t Path integrals and options II : interest-rates (tech. index 8/10) --  |g 44.  |t Path integrals and options III : numerical (tech. index 6/10) --  |g 45.  |t Path integrals and options IV : multiple factors (tech. index 9/10) --  |g 46.  |t The Reggeon field theory, fat tails, chaos (tech. index 10/10) --  |g 47.  |t The macro-micro model : overview (tech. index 4/10) --  |g 48.  |t A multivariate yield-curve lognormal model (tech. index 6/10) --  |g 49.  |t Strong mean-reverting multifactor YC model (tech. index 7/10) --  |g 50.  |t The macro-micro yield-curve model (tech. index 5/10) --  |g 51.  |t Macro-micro model : further developments (tech. index 6/10) --  |g 52.  |t A function toolkit (tech. index 6/10). 
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