Frontiers in quantitative finance: volatility and credit risk modeling
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, N.J.
John Wiley & Sons
c2009
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | UBG01 Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (xvii, 299 p.) |
| ISBN: | 9780470407165 0470407166 9780470456804 0470456809 9781118266915 1118266919 |
Internformat
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| 505 | 0 | |a 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 Schḻgl, Lutz Schḻgl -- 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 | |
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| 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 Schḻgl, Lutz Schḻgl -- 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 |
| ctrlnum | (OCoLC)299038896 (DE-599)BVBBV041167502 |
| dewey-full | 332.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5195 |
| dewey-search | 332.01/5195 |
| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont, editor Hoboken, N.J. John Wiley & Sons c2009 1 Online-Ressource (xvii, 299 p.) txt rdacontent c rdamedia cr rdacarrier Wiley finance series 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 Schḻgl, Lutz Schḻgl -- 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 Mathematisches Modell Finance / Mathematical models Derivative securities / Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Optionspreis (DE-588)4115453-8 s Volatilität (DE-588)4268390-7 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Kreditrisiko (DE-588)4114309-7 s 3\p DE-604 Cont, Rama Sonstige (DE-588)140923446 oth Erscheint auch als Druck-Ausgabe, Hardcover 0-470-29292-X Erscheint auch als Druck-Ausgabe, Hardcover 978-0-470-29292-1 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118266915 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Frontiers in quantitative finance volatility and credit risk 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 Schḻgl, Lutz Schḻgl -- 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 Mathematisches Modell Finance / Mathematical models Derivative securities / Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd Kreditrisiko (DE-588)4114309-7 gnd Optionspreis (DE-588)4115453-8 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4268390-7 (DE-588)4114309-7 (DE-588)4115453-8 (DE-588)4143413-4 |
| title | Frontiers in quantitative finance volatility and credit risk modeling |
| title_auth | Frontiers in quantitative finance volatility and credit risk modeling |
| title_exact_search | Frontiers in quantitative finance volatility and credit risk modeling |
| title_full | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont, editor |
| title_fullStr | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont, editor |
| title_full_unstemmed | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont, editor |
| title_short | Frontiers in quantitative finance |
| title_sort | frontiers in quantitative finance volatility and credit risk modeling |
| title_sub | volatility and credit risk modeling |
| topic | Mathematisches Modell Finance / Mathematical models Derivative securities / Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd Kreditrisiko (DE-588)4114309-7 gnd Optionspreis (DE-588)4115453-8 gnd |
| topic_facet | Mathematisches Modell Finance / Mathematical models Derivative securities / Mathematical models Volatilität Kreditrisiko Optionspreis Aufsatzsammlung |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118266915 |
| work_keys_str_mv | AT contrama frontiersinquantitativefinancevolatilityandcreditriskmodeling |