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Editorial ReviewsFrom the Inside FlapThe Petit Déjeuner de la Finance—which 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. This seminar has included a prestigious list of international speakers who are considered major contributors to recent developments in quantitative finance.
Frontiers in Quantitative Finance is a selection of recent presentations in the Petit Déjeuner de la Finance. Leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
This comprehensive volume is divided into two parts. The first part (Chapters 1–5) deals with advances in option pricing and volatility modeling in the context of equity and index derivatives. Topics include tests for static arbitrage, asymptotics of implied volatility, jump-diffusion models, variance swaps, and cliquet options. The second part (Chapters 6–11) covers recent advances in pricing models for credit derivatives. Topics here include structural vs. hazard rate models, factor models and top-down models for portfolio credit derivatives, and forward equations for CDO pricing.
Contributors to this volume include Areski Cousin, Alexandre d'Aspremont, Shalom Benaim, Lorenzo Bergomi, Peter Friz, Kay Giesecke, Pierre Henry-Labordère, Jean-Paul Laurent, Roger Lee, Chris Rogers, Ioana Savescu, Erik Schlögl, Lutz Schlögl, Peter Tankov, Julien Turc, Philippe Very, and Ekaterina Voltchkova.
For quants, risk managers, consultants, graduate students in quantitative finance, hedge fund managers, and academics, Frontiers in Quantitative Finance is an invaluable guide to the state-of-the-art knowledge in credit risk and volatility modeling.
From the Back CoverFrontiers in Quantitative Finance
"This is a collection of papers dealing with a number of advanced issues in quantitative finance, selected among the Petit Déjeuner de la Finance talks organized by Rama Cont in Paris. It is an interesting volume for mathematical finance enthusiasts and completists."—Damiano Brigo, Managing Director, Fitch Solutions and Visiting Professor, Mathematics, Imperial College
"Frontiers in Quantitative Finance is a collection of financial engineering research gems. Through the Petit Déjeuner de la Finance, Rama Cont has gathered authors from established and emerging leaders in the field. Their work is on the leading edge of mathematical creativity, especially with respect to credit risk modeling. I highly recommend the book!"—Darrell Duffie, Dean Witter Distinguished Professor in Finance, Graduate School of Business, Stanford University
"This book by great contributors from markets and academia exposes cutting- edge research with great clarity."—Bruno Dupire, recipient Risk Magazine's 2008 Lifetime Achievement Award
"The Petit Déjeuner de la Finance, organized by Rama Cont, has been a successful example of interaction between academics and practitioners, and an extraordinary opportunity to share and spread knowledge on the latest advances in derivatives pricing. This book is the result of a careful selection of the most innovative presentations on volatility and credit derivatives modeling."—Fabio Mercurio, Senior Quant Researcher, Bloomberg LP
"Rama Cont's Frontiers in Quantitative Finance is an interesting collection of papers over a broad range of subjects. There is something for everyone in it."—Vladimir V. Piterbarg, Managing Director, Global Head of Quantitative Analytics, Barclays Capital
Product Details
- Series: Wiley Finance (Book 463)
- Hardcover: 300 pages
- Publisher: Wiley; 1 edition (November 10, 2008)
- Language: English
- ISBN-10: 047029292X
- ISBN-13: 978-0470292921
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