This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis
This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial secto
The practice of quantitative risk management has reached unprecedented levels of sophistication. The pricing, the assessment of risk as well as the computation of the capital requirements for highly c
Since the development of the Black Scholes model, research on equity derivatives has evolved rapidly – to the point where it is now difficult to cut through the myriad of literature to find relevant m
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded pr
As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value cha
The past 10 years have seen an incredible change in pricing financial products, driven by the credit crisis which started in 2007 with the near bankruptcy of Bear Stearns, reached a first climax with
Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as sta
Interest Rate vanilla traders have been using the SABR model for more than a decade. The SABR model is commonly used for vanilla products where the LMM model is commonly used for exotic products; howe
XVA Desks: A New Era for Risk Management is a comprehensive guide to the fundamentals and latest developments in this rapidly expanding field. Written by a seasoned practitioner, it begins with an ove
Something unprecedented occurred in the wake of the 2008 global financial crisis. Interest rates in the world's six largest economies—excluding China—settled at or near zero percent, with many other e
"The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. The era of stochastic calculus is over and the time of Ito derivation is at an end. To
Interest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve sufficient in representing real world markets. Instead
The credit and sovereign debt crises have fundamentally changed the way participants in the global financial markets perceive credit risk. The effects of this change have been studied by many leading
