Frontiers in quantitative finance : volatility and credit risk modeling / Rama Cont, editor.

Contributor(s):

Cont, Rama

Material type: Text

text

Media type:

computer

Carrier type:

online resource

ISBN:

9780470407165
0470407166
9780470456804
0470456809
9781118266915
1118266919
1281938653
9781281938657
9786611938659
6611938656

Subject(s): Genre/Form:

Additional physical formats: Print version:: Frontiers in quantitative finance.DDC classification:

332.01/5195 22

LOC classification:

HG106 .F76 2009eb

Other classification:

85.30

Online resources:

Click here to access online

Contents:

Front Matter -- Option Pricing and Volatility Modeling. A Moment Approach to Static Arbitrage / Alexandre d'Aspremont -- On Black-Scholes Implied Volatility at Extreme Strikes / Shalom Benaim, Peter Friz, Roger Lee -- Dynamic Properties of Smile Models / Lorenzo Bergomi -- A Geometric Approach to the Asymptotics of Implied Volatility / Pierre Henry-Labord`re -- Pricing, Hedging, and Calibration in Jump-Diffusion Models / Peter Tankov, Ekaterina Voltchkova -- Credit Risk. Modeling Credit Risk / L C G Rogers -- An Overview of Factor Modeling for CDO Pricing / Jean-Paul Laurent, Areski Cousin -- Factor Distributions Implied by Quoted CDO Spreads / Erik Schl̲gl, Lutz Schl̲gl -- Pricing CDOs with a Smile: The Local Correlation Model / Julien Turc, Philippe Very -- Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches / Kay Giesecke -- Forward Equations for Portfolio Credit Derivatives / Rama Cont, Ioana Savescu -- Index.

Summary: The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Includes bibliographical references and index.

The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.