62 Perturbative Skew and Barrier Options. 59 Put-Call Parity: Theory and Violations. 57 Numerical Codes, Closed Form Sanity Checks, and Intuition. 56 FX Options in the presence of Stochastic Interest Rates. 52 The “Two-Country Paradox”.54 Quanto Options and Correlations. 51 Double Barrier Option: Practical Example. 43 Hedging FX Options with Greeks: Details and Ambiguities. 39 Some Practical Details for FX Options. 35 Other Types of Equity Options Exotics.37 Portfolio Risk (Introduction). Index 3/10).31 Pricing and Hedging One Option. 28 PART II: RISK LAB (NUTS AND BOLTS OF RISK MANAGEMENT). 23 Part #2: Repeat Part #1 Using Programming.26 Part #3: A Few Quick and Tricky Hypothetical Questions. 23 Part #1: Data, Statistics, and Reporting Using a Spreadsheet. 16 Many People Participate in Risk Management.16 Quants in Quantitative Finance and Risk Management. 14 When Will We Ever See Real-Time Color Movies of Risk?. 11 The Traditional Areas of Risk Management. 9 Tools of Quantitative Finance and Risk Management. 9 Objectives of Quantitative Finance and Risk Management. 6 Climate Change Risk Management – NEW TOPIC.7 Evaluation – Where do we stand? What about the future?. 3 Summary Outline: Book Contents.5 Note for the 2nd Edition (2015). Introduction / Outline Note for 2nd Edition Unresolved Problems.3 Who/ How/What, “Tech. xxi PART I: INTRODUCTION, OVERVIEW, AND EXERCISE. Table of Contents Acknowledgments for the 1st and 2nd Editions. They inspired learning, curiosity, and respect for the environment, and advised never to take anything for granted. Typeset by Stallion Press Email: Printed in Singaporeĭedication I dedicate this book to my father and mother, Edward and Honore Dash. In this case permission to photocopy is not required from the publisher. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the publisher.įor photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. D37 2016 | DDC 332.63/2042-dc23 LC record available atīritish Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library.Ĭopyright © 2016 by World Scientific Publishing Co. | New Jersey : World Scientific, Identifiers: LCCN 2015038646 | ISBN 9789814571234 Subjects: LCSH: Finance-Mathematical models. Title: Quantitative finance and risk management : a physicist's approach / Jan W. Library of Congress Cataloging-in-Publication Data Names: Dash, Jan W., author. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE Published by World Scientific Publishing Co. Climate Change Risk Management: Business, Economy, Finance, Society (Tech. Macro-Micro Model: Further Developments (Tech. Strong Mean-Reverting Multifactor YC Model and the 3rd Order Green Function (Tech. A Multivariate Yield-Curve Lognormal Model and Yield-Curve Kinks (Tech. The Macro-Micro Model and Trend Risk: Overview (Tech. The Reggeon Field Theory, Markets in Crises, and “Predicting” Crises (Tech. Path Integrals and Options IV: Multiple Factors (Tech. Path Integrals and Options III: Numerical (Tech. Path Integrals and Options II: Interest Rates (Tech. Path Integrals and Options I: Introduction (Tech. Path Integrals and Options: Overview (Tech. PART V: PATH INTEGRALS, GREEN FUNCTIONS, AND OPTIONSĤ1. Wishart’s Theorem and Fisher’s Transform (Tech. Correlations, Data, and Random Matrix Theory (Tech. Data Risk: Qualitative, SSA, Generalized zScore Polynomials (Tech. VAR and Component VAR for Two Variables (Tech. VAR, CVAR, CVAR Volatility Formalism (Tech.
Plain-Vanilla VAR and Component VAR (Tech. Models for Correlation Dynamics, Uncertainties (Tech. Optimally Stressed PD Correlation Matrices (Tech. Stressed Correlations and Random Matrices (Tech. PART III: EXOTICS, DEALS, AND CASE STUDIESġ3. Interest-Rate Swaps and Credit Default Swaps (Tech. PART II: RISK LAB (NUTS AND BOLTS OF RISK MANAGEMENT)Ħ. Introduction / Outline Note for 2nd Edition Unresolved Problems
PART I: INTRODUCTION, OVERVIEW, AND EXERCISEġ.
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