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November 11th 2003 saw a landmark event take place in London. Asthe first conference designed for quants by quants the QuantitativeFinance Review 2003, moved away from the anonymous bazaars thathave become the norm, and instead delivered valuable information tomarket practitioners with the greatest interest. The roster ofspeakers was phenomenal, ranging from founding fathers to brightyoung things, discussing the latest developments, with a specificemphasis on the burgeoning field of credit derivatives. You reallyhad to be there. Until now, at least. The Best of Wilmott 1: Including the latest…mehr

Produktbeschreibung
November 11th 2003 saw a landmark event take place in London. Asthe first conference designed for quants by quants the QuantitativeFinance Review 2003, moved away from the anonymous bazaars thathave become the norm, and instead delivered valuable information tomarket practitioners with the greatest interest. The roster ofspeakers was phenomenal, ranging from founding fathers to brightyoung things, discussing the latest developments, with a specificemphasis on the burgeoning field of credit derivatives. You reallyhad to be there. Until now, at least. The Best of Wilmott 1: Including the latest research fromQuantitative Finance Review 2003 contains these first-classarticles, originally presented at the QFR 2003, along with acollection of selected technical papers from Wilmott magazine. Inpublishing this book we hope to share some of the great insightsthat, until now, only delegates at QFR 2003 were privy to, and giveyou some idea why Wilmott magazine is the most talked aboutperiodical in the market. Including articles from luminaries such as Ed Thorp, Jean-PhilippeBouchaud, Philipp Schoenbucher, Pat Hagan, Ephraim Clark, MarcPotters, Peter Jaeckel and Paul Wilmott, this collection is a mustfor anyone working in the field of quantitative finance. Thearticles cover a wide range of topics: * Psychology in Financial Markets * Measuring Country Risk as Implied Volatility * The Equity-to-Credit Problem * Introducing Variety in Risk Management * The Art and Science of Curve Building * Next Generation Models for Convertible Bonds with CreditRisk * Stochastic Volatility and Mean-variance Analysis * Cliquet Options and Volatility Models And as they say at the end of (most) Bond movies The Best ofWilmott... will return on an annual basis.

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  • Produktdetails
  • Verlag: John Wiley & Sons
  • Seitenzahl: 458
  • Erscheinungstermin: 08.07.2005
  • Englisch
  • ISBN-13: 9780470023525
  • Artikelnr.: 37289878
Autorenporträt
Dr Paul Wilmott has been described by the Financial Times as the cult derivatives lecturer.He has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. He is the author of the best-selling Paul Wilmott Introduces Quantitative Finance (Wiley 2000) and Paul Wilmott on Quantitative Finance (Wiley 2001). He has written over 100 research articles on finance and mathematics.Dr Wilmott runs www.wilmott.com, the popular quantitative finance community website, the quant magazine Wilmott, and is the Course Director for the Certificate in Quantitative Finance, www.7city.com/cqf.Paul Wilmott is a partner in a statistical arbitrage hedge fund.
Inhaltsangabe
Introduction (Paul Wilmott). I. Education in Quantitative Finance (Riaz Ahmad). II. FinancialCAD (Owen Walsh). III
Quantitative Finance Review 2003 (Dan Tudball). Chapter 1: Rewind (Dan Tudball) Chapter 2: In for the Count (Dan Tudball). Chapter 3: A Perspective on Quantitative Finance: Models for Beating the Market (Ed Thorp). Chapter 4: Psychology in Financial Markets (Henriëtte Prast). Chapter 5: Credit Risk Appraisal: From the Firm Structural Approach to Modern Probabilistic Methodologies (Hugues E. Pirotte Spéder). Chapter 6: Modelling and Measuring Sovereign Credit Risk (Ephraim Clark). Chapter 7: The Equity-to-credit Problem (or the Story of Calibration
Co-calibration and Re-calibration) (Elie Ayache). Chapter 8: Measuring Country Risk as Implied Volatility (Ephraim Clark). Chapter 9: Next Generation Models for Convertible Bonds with Credit Risk (E. Ayache
P. A. Forsyth and K. R. Vetzal). Chapter 10: First to Default Swaps (Antony Penaud and James Selfe). Chapter 11: Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions (Philipp J. Schönbucher) Chapter 12: Sovereign Debt Default Risk: Quantifying the (Un)Willingness to Pay (Ephraim Clark). Chapter 13: Chord of Association (Aaron Brown). Chapter 14: Introducing Variety in Risk Management (Fabrizio Lillo
Rosario N. Mantegna
Jean-Philippe Bouchaud and Marc Potters). Chapter 15: Alternative Large Risks Hedging Strategies for Options (F. Selmi and Jean-Philippe Bouchaud). Chapter 16: On Exercising American Options: The Risk of Making More Money than You Expected (Hyungsok Ahn and Paul Wilmott). Chapter 17: Phi-alpha Optimal Portfolios and Extreme Risk Management (R. Douglas Martin
Svetlozar (Zari) Rachev
and Frederic Siboulet). Chapter 18: Managing Smile Risk (Patrick S. Hagan
Deep Kumar
Andrew S. Lesniewski and Diana E. Woodward). Chapter 19: Adjusters: Turning Good Prices into Great Prices (Patrick S. Hagan). Chapter 20: Convexity Conundrums: Pricing CMS Swaps
Caps
and Floors (Patrick S. Hagan). Chapter 21: Mind the Cap (Peter Jäckel). Chapter 22: The Art and Science of Curve Building (Owen Walsh). Chapter 23: Stochastic Volatility Models: Past
Present and Future (Peter Jäckel). Chapter 24: Cliquet Options and Volatility Models (Paul Wilmott). Chapter 25: Long Memory and Regime Shifts in Asset Volatility (Jonathan Kinlay). Chapter 26: Heston's Stochastic Volatility Model: Implementation
Calibration and Some Extensions (Sergei Mikhailov and Ulrich Nögel). Chapter 27: Forward-start Options in Stochastic Volatility Models (Vladimir Lucic). Chapter 28: Stochastic Volatility and Mean-variance Analysis (Hyungsok Ahn and Paul Wilmott). Index.