Frontiers in quantitative finance : volatility and credit risk modeling /
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...
| Други автори: | Cont, Rama. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Hoboken, N.J. :
John Wiley & Sons,
℗♭2009.
|
| Серия: |
Wiley finance series.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=254123 |
| Подобни документи: |
Print version::
Frontiers in quantitative finance. |
Съдържание:
- 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 Schløgl, Lutz Schløgl
- 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.