Frontiers in quantitative finance : volatility and credit risk modeling / Rama Cont, editor
(Wiley finance series)
| Publisher | Hoboken, N.J : John Wiley & Sons |
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| Year | ©2009 |
| Authors | Cont, Rama |
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| Links to the text | Location | Volume | Call No. | Barcode No. | Status | Comments | ISBN | Printed | Restriction | Reserve |
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| Links to the text | Library Off-campus access |
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OB00188341 | Wiley Online Library (電子ブック) | 9780470407165 |
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| Material Type | E-Book |
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| Media type | 機械可読データファイル |
| Size | 1 online resource (xvii, 299 pages) : illustrations |
| Notes | 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 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 Print version record English John Wiley and Sons Wiley Online Library: Complete oBooks eBooks on EBSCOhost All EBSCO eBooks HTTP:URL=https://onlinelibrary.wiley.com/doi/book/10.1002/9781118266915 HTTP:URL=https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=254123 |
| Subjects | LCSH:Finance -- Mathematical models
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| Classification | LCC:HG106 DC22:332.01/5195 |
| ID | 8000087588 |
| ISBN | 9780470407165 |
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