
Capital Structure Trading
Advanced C++ for Computational Finance
Value-at-Risk
Credit Default Swaps and the Credit Crisis
Pricing Counterparty Credit Risk in Credit Crisis
Options and Structured Products
Pricing Credit Derivatives and the Credit Crisis
Statistical Programming in Finance with R
The Heston Stochastic Volatility Model - Pricing, Calibration and Monte Carlo Simulation
The use of Probability theory in financial modelling can be traced back to the work on Bachelier at the beginning of last century with advanced probabilistic methods being introduced for the first time by Black, Scholes and Merton in the seventies. The modern financial quantitative analysts make use of sophisticated mathematical concepts, such as martingales and stochastic integration, in order to describe the behaviour of the markets or to derive computing methods.Featured Product
21 - 22nd September, 2009
London, UK
Market-Risk Analysis: Value-at-Risk Models, Volume 4
Carol Alexander
Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors.
ISBN:9780470997888 - 09-Jan-09 - £60.00