Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++.
Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical...
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quant...
< P> Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of...
< P> Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accou...
While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with an emphasis on the valuation of American options on dividend-paying assets. The book begins with a review of valuation principles for European contingent claims in a financial market in which the underlying...
While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new c...
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization. Divided into...
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization an...
The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit risks. Based on a steadily growing market, there is a high demand for concepts and techniques applicable to the evaluation of structured credit products. Written from the perspective of practitioners who apply mathematical concepts to structured credit products,...
The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-ri...
For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research including Risk magazine s 2013 Quant of the Year Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.
Real-World Solutions for...
New Tools to Solve Your Option Pricing Problems
For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are neede...
Although portfolio management didn t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies.
Written by a well-known expert of asset...
Although portfolio management didn t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budge...
Following the recent financial crisis, risk management in financial institutions, particularly in banks, has attracted widespread attention and discussion. Novel modeling approaches and courses to educate future professionals in industry, government, and academia are of timely relevance. This book introduces an innovative concept and methodology developed by the authors: active risk management. It is suitable for graduate students in mathematical finance/financial engineering, economics, and statistics as well as for practitioners in the fields of finance and insurance. The book s website...
Following the recent financial crisis, risk management in financial institutions, particularly in banks, has attracted widespread attention and dis...
