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Quantitative Finance and Risk Management: A Physicist's Approach (2nd Edition)
Hardcover
Investing & FinanceGeneral Mathematics
ISBN13: 9789814571234
Publisher: World Scientific Publishing Company
Published: May 12 2016
Pages: 1000
Weight: 2.60
Height: 1.40 Width: 6.20 Depth: 9.10
Language: English
Dr Jan Dash has achieved a success that is truly unique. It is common to find texts from authors steeped in climate science or in decision making processes. But it is rare to find someone skilled at both. Dr Dash knows his science and he knows how to use it to make informed decisions as we face a changing and challenging climate.
Dr John Abraham
University of St Thomas, USA
Review of the First Edition:
... this document brings a wealth of practical information on how work is done in real world financial markets, and covers an impressive number of topics, ranging from management and computer system issues to research themes whose potential applications are yet to be explored. It can prove a useful tool to anyone already well acquainted with the basics of mathematical finance, including financial mathematicians, but also quantitative analysts wishing to learn more of the fundamentals without paying too high a price in mathematical prerequisites.
Mathematical Reviews
Written by a physicist with extensive experience as a risk/finance quant, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the how to and what it's like aspects not covered in textbooks or papers. A Technical Index indicates the mathematical level for each chapter.
This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; Smart Monte Carlo and American Monte Carlo; Trend Risk -- time scales and risk, the Macro-Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations -- new techniques; and Psychology and option models.
Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management -- traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a function toolkit; risk lab -- the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and Life as a Quant -- communication issues, sociology, stories, and advice.
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