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" Quantitative finance : "
Adil Reghai
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BL
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| Record Number
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641724
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| Doc. No
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dltt
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| Main Entry
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Reghai, Adil
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| Title & Author
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Quantitative finance : : back to basic principles /\ Adil Reghai
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| Series Statement
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Applied quantitative finance series
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| Page. NO
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xxiii, 223 pages; 24 cm
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| ISBN
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9781137414496 (hardback)
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: 1137414499 (hardback)
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: 1137414502
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: 9781137414502
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| Bibliographies/Indexes
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Includes bibliographical references (pages 220-221) and index
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| Contents
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1. Financial Modeling -- 2. About Modeling -- 3. From Black & Scholes to Smile Modeling -- 4. What is the Fair Value in the Presence of the Smile? -- 5. Mono Underlying Risk Exploration -- 6. A General Pricing Formula -- 7. Multi-Asset Case -- 8. Discounting and General Value Adjustment Techniques -- 9. Investment Algorithms -- 10. Building Monitoring Signals -- General conclusion
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| Abstract
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"The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. The era of stochastic calculus is over and the time of Ito derivation is at an end. Today, quants need a broad modeling skillset - one that transcends mathematics to price and hedge financial products safely and effectively, but that also takes into account that we now live in a world of more frequent crises, fatter tail risk and the optimized search for alpha. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets. It begins by looking at approaches to vanilla and exotic options - including barrier, binary and American options. It then addresses the Black-Scholes conundrum - is it effective? The book then progresses to look at other pricing and valuation models commonly used in the industry, including Terminal Smile, stochastic volatility and more before confronting all the key challenges in model calibration and implementation. Written for quantitative practitioners in banks and asset managers, Quantitative Finance provides a toolkit and robust methodology to confront new and unforeseen pricing and valuation challenges in the light of the new paradigm. "--
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| Subject
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Finance-- Mathematical models
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| Dewey Classification
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332.01/51
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| LC Classification
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HG106.R445 2015
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