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MARKET PRACTICE IN FINANCIAL MODELLING de Tan Chia Chiang

MARKET PRACTICE IN FINANCIAL MODELLING

Autor Tan Chia Chiang
en Limba Engleză Hardback – 11 iul 2012
Includes the practitioner's perspective of how local versus stochastic volume affects forward smile, and the implications of mean reversion on forward volume. This title presents key considerations for modeling in rates, equities and foreign exchange from the perspective of common themes across various assets.
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Specificații

ISBN-13: 9789814366540
ISBN-10: 9814366544
Pagini: 440
Ilustrații: black & white illustrations, black & white tables, figures
Dimensiuni: 157 x 235 x 28 mm
Greutate: 0.78 kg
Editura: World Scientific

Recenzii

Chia Tan's book provides a refreshing introduction to concepts of quantitative finance applied to real world financial markets. He intuitively explains and guides the reader to tackle problems in financial engineering with practical solutions in mind, and is mindful to point out which issues each model can address and also the problems and limitations. Whereas mathematical elegance often overshadowed important issues prior to the financial crisis of 2008, this is one of the first books with a chapter explaining, in simple terms, such issues as counterparty risk, balance sheet and funding costs, and basis risk that have become important topics to many financial institutions these days. This book will be a valuable resource for hedge fund managers and buy-side institutions who plan to use over-the-counter derivative products, and also as a refresher for the sell-side dealers who trade them. -- David Ha "Interest Rates Trader, Goldman Sachs Japan"