Rama Cont – Frontiers in Quantitative Finance. Volatility & Credit Risk Modeling

The Petit D’euner de la Finance-which creator Rama Cont has been co-organizing in Paris since 1998-is a well known quantitative finance seminar that has progressively turn into a platform for the change of concepts between the tutorial and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a collection of current shows in the Petit D’euner de la Finance. In this e-book, main quants and tutorial researchers cowl an important rising points in quantitative finance and concentrate on portfolio credit score threat and volatility modeling.

From the Inside Flap

The Petit Déjeuner de la Finance—which Rama Cont has been co-organizing in Paris since 1998—is a well known quantitative finance seminar that has progressively turn into a platform for the change of concepts between the tutorial and practitioner communities in quantitative finance. This seminar has included a prestigious record of worldwide audio system who’re thought of main contributors to current developments in quantitative finance.

Frontiers in Quantitative Finance is a collection of current shows in the Petit Déjeuner de la Finance. Leading quants and tutorial researchers cowl an important rising points in quantitative finance and concentrate on portfolio credit score threat and volatility modeling.

This complete quantity is split into two components. The first half (Chapters 1–5) offers with advances in possibility pricing and volatility modeling in the context of fairness and index derivatives. Topics embody checks for static arbitrage, asymptotics of implied volatility, jump-diffusion fashions, variance swaps, and cliquet choices. The second half (Chapters 6–11) covers current advances in pricing fashions for credit score derivatives. Topics right here embody structural vs. hazard charge fashions, issue fashions and top-down fashions for portfolio credit score derivatives, and ahead equations for CDO pricing.

Contributors to this quantity embody Areski Cousin, Alexandre d’Aspremont, Shalom Benaim, Lorenzo Bergomi, Peter Friz, Kay Giesecke, Pierre Henry-Labordère, Jean-Paul Laurent, Roger Lee, Chris Rogers, Ioana Savescu, Erik Schlögl, Lutz Schlögl, Peter Tankov, Julien Turc, Philippe Very, and Ekaterina Voltchkova.

For quants, threat managers, consultants, graduate college students in quantitative finance, hedge fund managers, and teachers, Frontiers in Quantitative Finance is a useful information to the state-of-the-art information in credit score threat and volatility modeling.