Quantitative Finance and Risk Management : A Physicist's Approach

Written by a physicist with extensive experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the ?ow to?and ?hat it's like?aspects not covered in textbooks or research papers. A ?echnical 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 financial risk; markets in crisis ?new crisis prediction technique and the Reggeon field theory; new ?mart Monte Carlo?and American Monte Carlo; trend risk ?time scales and risk, the Macro?icro model, and singular spectrum analysis; credit risk: counterparty risk, wrong way risk, issuer risk, and regulations; stressed correlations ?new ?earest neighbor?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, stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and 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 ?ife as a Quant??communication issues, sociology, stories, and advice.

Author: Jan W. Dash

Publisher: World Scientific Publishing Company Incorporated

Publication Date: May 12, 2016

Number of Pages: 986 pages

Language: English

Binding: Hardcover

ISBN-10: 9814571237

ISBN-13: 9789814571234