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.
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).