Quantitative finance and risk management : a physicist's approach /
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| Author / Creator: | Dash, Jan W. |
|---|---|
| Imprint: | River Edge, NJ : World Scientific Pub., c2004. |
| Description: | xix, 781 p. : ill. ; 24 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5607249 |
Table of Contents:
- 1. Introduction and outline
- 2. Overview (tech. index 1/10)
- 3. An exercise (tech. index 1/10)
- 4. Equity options (tech. index 3/10)
- 5. FX options (tech. index 4/10)
- 6. Equity volatility skew (tech. index 6/10)
- 7. Forward curves (tech. index 4/10)
- 8. Interest-rate swaps (tech. index 3/10)
- 9. Bonds : an overview (tech. index 2/10)
- 10. Interest-rate caps (tech. index 4/10)
- 11. Interest-rate swaptions (tech. index 5/10)
- 12. Portfolios and scenarios (tech. index 3/10)
- 13. A complex CVR option (tech. index 5/10)
- 14. Two more case studies (tech. index 5/10)
- 15. More exotics and risk (tech. index 5/10)
- 16. A pot pourri of deals (tech. index 5/10)
- 17. Single barrier options (tech. index 6/10)
- 18. Double barrier options (tech. index 7/10)
- 19. Hybrid 2-D barrier options (tech. index 7/10)
- 20. Average-rate options (tech. index 8/10)
- 21. Fat tail volatility (tech. index 5/10)
- 22. Correlation matrix formalism; the N-sphere (tech. index 8/10)
- 23. Stressed correlations and random matrices (tech. index 5/10)
- 24. Optimally stressed PD correlation matrices (tech. index 7/10)
- 25. Models for correlation dynamics, uncertainties (tech. index 6/10)
- 26. Plain-vanilla VAR (tech. index 4/10)
- 27. Improved/enhanced/stressed VAR (tech. index 5/10)
- 28. VAR, CVAR, CVAR volatility formalism (tech. index 7/10)
- 29. VAR and CVAR for two variables (tech. index 5/10)
- 30. Corporate-level VAR (tech. index 3/10)
- 31. Issuer credit risk (tech. index 5/10)
- 32. Model risk overview (tech. index 3/10)
- 33. Model quality assurance (tech. index 4/10)
- 34. Systems issues overview (tech. index 2/10)
- 35. Strategic computing (tech. index 3/10)
- 36. Qualitative overview of data issues (tech. index 2/10)
- 37. Correlations and data (tech. index 5/10)
- 38. Wishart's theorem and Fisher's transform (tech. index 9/10)
- 39. Economic capital (tech. index 4/10)
- 40. Unused-limit risk (tech. index 6/10)
- 41. Path integrals and options : overview (tech. index 4/10)
- 42. Path integrals and options I : introduction (tech. index 7/10)
- 43. Path integrals and options II : interest-rates (tech. index 8/10)
- 44. Path integrals and options III : numerical (tech. index 6/10)
- 45. Path integrals and options IV : multiple factors (tech. index 9/10)
- 46. The Reggeon field theory, fat tails, chaos (tech. index 10/10)
- 47. The macro-micro model : overview (tech. index 4/10)
- 48. A multivariate yield-curve lognormal model (tech. index 6/10)
- 49. Strong mean-reverting multifactor YC model (tech. index 7/10)
- 50. The macro-micro yield-curve model (tech. index 5/10)
- 51. Macro-micro model : further developments (tech. index 6/10)
- 52. A function toolkit (tech. index 6/10).
