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- Product code: 20142
- ISBN: 0470023511,
ISBN13: 9780470023518,
458 pages, hardback
Published by John Wiley & Sons on 2004
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Description of Quantative Financial Review: v. 1 |
November 11th 2003 saw a landmark event take place in London. As the first conference designed for quants by quants the Quantitative Finance Review 2003, moved away from the anonymous bazaars that have become the norm, and instead delivered valuable information to market practitioners with the greatest interest. The roster of speakers was phenomenal, ranging from founding fathers to bright young things, discussing the latest developments, with a specific emphasis on the burgeoning field of credit derivatives. You really had to be there. Until now, at least. The Best of Wilmott 1: Including the latest research from Quantitative Finance Review 2003 contains these first-class articles, originally presented at the QFR 2003, along with a collection of selected technical papers from Wilmott magazine. In publishing this book we hope to share some of the great insights that, until now, only delegates at QFR 2003 were privy to, and give you some idea why Wilmott magazine is the most talked about periodical in the market.
Including articles from luminaries such as Ed Thorp, Jean-Philippe Bouchaud, Philipp Schoenbucher, Pat Hagan, Ephraim Clark, Marc Potters, Peter Jaeckel and Paul Wilmott, this collection is a must for anyone working in the field of quantitative finance. The articles cover a wide range of topics: Psychology in Financial Markets Measuring Country Risk as Implied Volatility The Equity-to-Credit Problem Introducing Variety in Risk Management The Art and Science of Curve Building Next Generation Models for Convertible Bonds with Credit Risk Stochastic Volatility and Mean-variance Analysis Cliquet Options and Volatility Models And as they say at the end of (most) Bond movies The Best of Wilmott...will return on an annual basis.
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Contents of Quantative Financial Review: v. 1 |
Introduction (Paul Wilmott)
I. Education in Quantitative Finance (Paul Shaw)
II. FinancialCAD" (Owen Walsh)
III. Quantitative Finance Review 2003 (Dan Tudball)
1. Rewind (Dan Tudball)
2. In for the Count (Dan Tudball)
3. A Perspective on Quantitative Finance: Models for Beating the Market (Ed Thorpe)
4. Psychology in Financial Markets (Henriette Prast)
5. Credit Risk Appraisal: From the Firm Structural Approach to Modern Probabilistic Methodologies (Hugues E. Pirotte Spéder)
6. Modelling and Measuring Sovereign Credit Risk (Ephraim Clark)
7. The Equity-to-credit Problem (Elie Ayache)
8. Measuring Country Risk as Implied Volatility (Ephraim Clark)
9. Next Generation Models for Convertible Bonds with Credit Risk (E. Ayache, P. A. Forsyth and K. R. Vetzal)
10. First to Default Swaps (Antony Penaud and James Selfe)
11. Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions (Philipp J. Schönbucher)
12. Sovereign Debt Default Risk: Quantifying the (Un)Willingness to Pay (Ephraim Clark)
13. Chord of Association (Aaron Brown)
14. Introducing Variety in Risk Management (Fabrizio Lillo, Rosario N. Mantegna,Jean-Philippe Bouchard and Marc Potters)
15. Alternative Large Risks Hedging Strategies for Options (F. Selmi and J.-P. Bouchard)
16. On Exercising American Options: The Risk of Making More Money than You Expected (Hyungsok Ahn and Paul Wilmott)
17. Phi-alpha Optimal Portfolios and Extreme Risk Management (R. Douglas Martin, Svetlozar (Zari) Rachev and Frederic Siboulet)
18. Managing Smile Risk (Patrick S. Hagan, Deep Kumar, Andrew S. Lesniewski and Diana E. Woodward)
19. Adjusters: Turning Good Prices into Great Prices (Patrick S. Hagan)
20. Convexity Conundrums: Pricing CMS Swaps, Caps and Floors (Patrick S. Hagan)
21. Mind the Cap Peter Jäckel
22. The Art and Science of Curve Building (Owen Walsh)
23. Stochastic Volatility Models: Past, Present and Future (Peter Jäckel)
24. Cliquet Options and Volatility Models (Paul Wilmott)
25. Long Memory and Regime Shifts in Asset Volatility (Jonathan Kinlay)
26. Heston's Stochastic Volatility Model Implementation, Calibration and Some Extensions (Sergei Mikhailov and Ulrich Nögel)
27. Forward-start Options in Stochastic Volatility Models (Vladimir Lucic)
28. Stochastic Volatility and Mean-variance Analysis (Hyungsok Ahn and Paul Wilmott)
Index
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About Paul Wilmott (Editor) |
Dr Paul Wilmott has been described by the Financial Times as the cult derivatives lecturer. He has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. He is the author of the best-selling Paul Wilmott Introduces Quantitative Finance (Wiley 2000) and Paul Wilmott on Quantitative Finance (Wiley 2001). He has written over 100 research articles on finance and mathematics. Dr Wilmott runs www.wilmott.com, the popular quantitative finance community website, the quant magazine Wilmott, and is the Course Director for the Certificate in Quantitative Finance, www.7city.com/cqf. Paul Wilmott is a partner in a statistical arbitrage hedge fund.
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