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Theoretical Foundations for Quantitative Finance.

Theoretical Foundations for Quantitative Finance. 数量ファイナンスの理論的基礎

・ISBN 978-981-3202-47-4 hard

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電子版あり 大学・学術機関向け電子ブック(eBook)ISBN 978-981-3202-48-1

著者・編者Spadafora, Luca / Berman, G. P.,
出版社(World Scientific, SI)
出版年月2017
ページ数280 pp.
言語ENG
ニュース番号<639-578 639-P1179>

解説

This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a deep focus on practical implications, favoring the intuition and the imagination. In addition, the new post-crisis paradigms, like multi-curves, x-value adjustments (xVA) and Counterparty Credit Risk are also discussed in a very simple framework. Finally, real world data and numerical simulations are compared in order to provide a reader with a simple and handy insight on the actual model performances.