The normal inverse Gaussian process has been used to model both stock returns and interest rate processes. Although several numerical methods are available to compute, for instance, VaR and derivatives values, these are in a relatively undeveloped s
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous
Wriiten by George Pennachi, a very famous and classic material for asset pricing study. Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course
The Practical Guide to Wall Street is an indispensable resource for anyone who aspires to a front–office sales or trading position on Wall Street and an essential desk reference for market practitioners and those who interact with this exciting but
Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demons
This is a hands-on book for programmers wanting to learn how C++ is used in the development of solutions for options and derivatives trading in the financial industry. As an important part of the financial industry, options and derivatives trading h
The importance of having basic knowledge of computational methods continues to increase for those working in the nancial services industry. Computational nance theory has developed along with advancements in computing technology. The objective of th
FrequentlyAsked
Questions
1. What are the different types of Mathematics
found in Quantitative Finance? 20
2. What is arbitrage? 25
3. What is put-call parity? 28
4. What is the central limit theorem and what
are its implications for finance? 31
5. H
