Overview
- Author has years of practical experience in designing and implementing financial models in practice
- This book provides proven, market-focused solutions to all the main modeling problems for quants
- One of the first books to focus on derivatives pricing in the industry taking into account new parameters set by the regulators
Part of the book series: Applied Quantitative Finance (AQF)
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Table of contents (11 chapters)
Reviews
'Bâle III identifies Valuation and Risk models as key features to be measured and followed. Recently, with the wide spread mission of the Asset Quality Review (AQR) regulators reinforced best practices in this field proposing concrete solutions. This book offers a step by step introduction to the usage of models in practice and assesses the fair valuation as well as the model risk measurement. It is done with pedagogy and helps the reader fine tune the choice of model following an incremental implementation methodology for many practical situations'.
- Jean-Marc Prevost, Global Head of Model Validation, Natixis.
'This is the only book I know of written by both a true practitioner of quantitative finance and a true scientist. For more than 15 years, Adil Reghai has constantly delivered models and products in production and for different market regimes. This book shares this learning experience on the usage of models and how to build them and make them evolve over time and market regimes. This book shows that in mathematical finance both historical data (past looking approach) and market prices (forward looking approach) must be combined to design an effective modelling approach. Finally, I recommend this book as it is full of tricks, graphs and well chosen examples that help develop easy learning by intuition'.
- Nicolas Grandchamp Des Raux, Head of Equity Derivatives Research, HSBC.
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About the author
Bibliographic Information
Book Title: Quantitative Finance
Book Subtitle: Back to Basic Principles
Authors: Adil Reghai
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137414502
Publisher: Palgrave Macmillan London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2015
Hardcover ISBN: 978-1-137-41449-6Published: 10 December 2014
Softcover ISBN: 978-1-349-49028-8Published: 01 January 2015
eBook ISBN: 978-1-137-41450-2Published: 25 November 2014
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: XXIII, 223
Topics: Financial Engineering, Capital Markets, Investments and Securities, Macroeconomics/Monetary Economics//Financial Economics