Encyclopedia of Quantitative Finance

ISBN13：9780470057568
出版社：John Wiley & Sons Inc
作者：Rama Cont (EDT)
出版日：2010/02/23
裝訂：精裝
關鍵字： Encyclopedia of Quantitative Finance、 Encyclopedia、 of、 Quantitative、 Finance、 John Wiley & Sons Inc、 Rama Cont (EDT)、外文書、 Financial economics、

杜威圖書分類

：

Financial economics

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作者簡介

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"What initially looked like an impossible undertaking has become a formidable achievement, stretching from the theoretical foundations to the most recent cutting edge methods. Mille bravos!" - Dr Bruno Dupire (Bloomberg L.P.)

The Encyclopedia of Quantitative Finance is a major reference work designed to provide a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals.
Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometrics, mathematical finance, operations research, numerical analysis, risk management and statistics, the Encyclopedia of Quantitative Finance faithful reflects the multidisciplinary nature of its subject.
With a pool of author comprising over 400 leading academics and professionals worldwide, the Encyclopedia provides a balanced view of theoretical and practical aspects of quantitative modelling in finance.

Topics covered in the Encyclopedia include

the historical development of quantitative modelling in finance, including biographies of influential figures

self-contained expositions of mathematical and statistical tools used in financial modelling

authoritative expositions on the foundations of financial theory and mathematical finance, including arbitrage pricing, asset pricing theory, option pricing and asset allocation

comprehensive reviews of various aspects of risk management: credit risk, market risk, operational risk, economic capital and Basel II with a detailed coverage of topics related to credit risk

up-to-date surveys of the state of the art in computational finance: Monte Carlo simulation, partial differential equations (PDEs), Fourier transform methods, model calibration

detailed entries on various types of financial derivatives and methods used for pricing and hedging them, including equity derivatives, credit derivatives, interest rate derivatives and foreign exchange derivatives

pedagogical surveys of econometric methods and models used in finance, including GARCH models, GMM, realized volatility, factor models, Mixed Data Sampling and high-frequency data

empirical and theoretical aspects of market microstructure and trade-level modelling

timely entries on new topics such as commodity risk, electricity derivatives, algorithmic trading and multi-fractals

quantitative methods in actuarial science, including insurance derivatives, catastrophe bonds , equity-linked life insurance and other topics at the interface of finance and insurance

All articles contain are cross-referenced to other relevant articles in the Encyclopedia and include detailed bibliographies for further reading.

The scope and breadth of the Encyclopedia will make it an invaluable resource for students and researchers in finance, quantitative analysts and developers, risk managers, portfolio managers, regulators, financial market analysts and anyone interested in the complexity of today’s financial markets and products.

作者簡介

Rama Cont, Paris, France, is Associate Professor, School of Engineering and Applied Science, Columbia University, New York, and Senior Research Scientist, Centre National de Recherche Scientifique, France. Rama is also a faculty member of Columbia Center for Applied Probability; Partner in Finance Concepts, and a senior academic fellow at the Europlace Institute. Educated in France, Rama has a Diplome de l'Ecole Polytechnique in Engineering, 1994, a DEA Physique Theorique from Ecole Normale Superieure, 1995, and a Doctorat from Universite de Paris XI, Orsay, 1998. In 2005 Rama studied for a Habilitation a diriger des recherches en Mathematiques Appliquees at the Universite de Paris VI. Rama has written a number of research papers on Quantitative Finance and co-authored Financial Modelling with Jump Processes (CRC Press, 2003).

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