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Post-Crisis Quant Finance

Edited By Mauro Cesa

Overview

This book outlines practically relevant solutions to the complexities faced by quants post-crisis. Each of the 20 chapters targets a specific technical issue including pricing, hedging and risk management of financial securities.

Post-Crisis Quant Finance is a must-read for quants, statisticians, researchers, risk managers, analysts and economists looking for the latest practical quantitative models designed by expert market practitioners.

“After reading this book it becomes clear that in the future these new and more realistic and accurate models will find wide applications and thus flourish and expand”
Alex Lipton, Bank of America Merrill Lynch and Imperial College

Publish date: 25 Mar 2013

Availability: In stock

Product Unit Price Qty
Post-Crisis Quant Finance
£145.00
eBook - Post-Crisis Quant Finance
EPUB
£110.00
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Book description

“This timely book shows very clearly that well thought through modelling is not only useful but necessary in order to help financial markets to operate smoothly and perform their social role properly”
Alex Lipton, Bank of America Merrill Lynch and Imperial College

The financial crisis of 2007-8 shook the world of quantitative finance. First, it caused the industry as a whole to question long-held truisms which threw into doubt the pricing of even the most vanilla of derivatives. Second, the regulatory response dramatically reshaped the derivatives industry leading quants to shift their focus on capital, funding and of course risk.

The result has not been, as some doomsayers predicted, the end of quantitative finance or appreciation of its contribution to financial institutions and markets. Rather, quants have begun to rebuild. Aware now that frictions in markets under duress are the norm, not the exception, they are improving existing resilient models and developing new ones.

It is this new wave of developments that is the focus of Post-Crisis Quant Finance, edited and introduced by Risk magazine’s Technical Editor, Mauro Cesa. Post-Crisis Quant Finance brings together for the first time 20 peer-reviewed papers from the Cutting Edge series of Risk, internationally recognised among the quantitative community.

Contributors include Jesper Andreasen, Marco Avellaneda, Lorenzo Bergomi, Christoph Burgard, Jon Gregory, Julien Guyon, Brian Huge, Mats Kjaer, Richard Martin, Vladimir Piterbarg, Michael Pykhtin and Robin Stuart.

The book is divided into three sections.

I - Derivatives pricing, including

  • equity derivatives;
  • interest rates;
  • derivatives;
  • multiple-curve environments;
  • collateralisation; and,
  • pricing model calibration.

II - Asset and risk management, including

  • liquidity risk;
  • short selling;
  • risk measurement tools; and,
  • correlation structures,

III - Counterparty credit risk, including

  • its bilateral formulation;
  • connection with risk capital;
  • stochastic representations;
  • challenging computation; and,
  • residual value of a deal at close-out.

As Alexander Lipton, writing in the foreword says: “The reader will benefit from the expertise of some of the sharpest thinkers in the field”.

This book outlines practically relevant solutions to the complexities faced by quants post-crisis. Each of the 20 chapters targets a specific technical issue including pricing, hedging and risk management of financial securities.

Post-Crisis Quant Finance is a must-read for quants, statisticians, researchers, risk managers, analysts and economists looking for the latest practical quantitative models designed by expert market practitioners.

Book details

ISBN
Book 9781782720072 / EBook 9781782720256
Publish date
25 Mar 2013
Format
Paperback
Size
155mm x 235mm

Editor biography

Mauro Cesa

Mauro Cesa is the technical editor of the Risk Management and Alternative Investment (RMAI) division at Incisive Media in London. Since 2009, he has been responsible for the Cutting Edge section of Risk, Energy Risk, Insurance Risk and ETF Risk magazines. Cutting Edge publishes peer-reviewed quantitative finance articles with a focus on the pricing and hedging of financial instruments, as well as risk management relevant to investment banking, buy-side industry, energy firms and insurance companies. Before joining Incisive Media in 2007, Mauro worked with the quantitative asset management team at Eurizon Capital in Milan on equity and fixed income investment models for mutual funds and pension funds. He studied economics at Trieste University and Aarhus University, and holds an MA in quantitative finance from Brescia University.

Table of contents

Introduction
Mauro Cesa (Risk Magazine)

Part 1 - Derivatives Pricing                         

1 - Smile dynamics IV
Lorenzo Bergomi (Société Générale)

2 - Funding beyond discounting: collateral agreements and derivatives pricing
Vladimir Piterbarg (Barclays Capital)

3 - Two curves, one price
Marco Bianchetti (Intesa Sanpaolo Bank)

4 - A Libor market model with a stochastic basis
Fabio Mercurio (Bloomberg)

5 - Volatility interpolation
Jesper Andreasen and Brian Huge (Danske Bank)

6 - Random grids
Jesper Andreasen and Brian Huge (Danske Bank)

7 - Being particular about calibration
Julien Guyon (Bloomberg) and Pierre Henry-Labordère (Société Générale)

8 - Cooking with collateral
Vladimir Piterbarg (Barclays Capital)

Part 2 - Asset and Risk Management                      

9 - A dynamic model for hard-to-borrow stocks
Marco Avellaneda (New York University) and Mike Lipkin (Colombia University and Katama Trading)

10 - Shortfall factor contributions
Richard Martin, AHL, and Roland Ordovàs (Banco Santander)

11 - Stressed in Monte Carlo
Christian Fries (DZ Bank)

12 - A new breed of copulas for risk and portfolio management
Attilio Meucci (Kepos Capital)

13 - A historical-parametric hybrid VAR
Robin Stuart (State Street Corporation Global Markets)

14 - Impact-adjusted valuation and the criticality of leverage
Jean-Philippe Bouchaud (Capital Fund Management Paris), Fabio Caccioli (Santa Fe Institute) and Doyne Farmer (Institute for New Economic Thinking and University of Oxford)

Part 3 - Counterparty Credit Risk           

15 - Being two-faced over counterparty credit risk
Jon Gregory (Solum Financial Partners)

16 - Real-time counterparty credit risk management in Monte Carlo
Luca Capriotti, Jacky Lee (Credit Suisse) and Matthew Peacock (Axon Strategies)

17 - Counterparty risk capital and CVA
Michael Pykhtin (Federal Reserve Board)

18 - Partial differential equation representations of options with bilateral counterparty risk and funding costs
Christoph Burgard and Mats Kjaer (Barclays Capital)

19 - Close-out convention tensions
Damiano Brigo (King’s College London) and Massimo Morini (Banca IMI)

20 - Cutting CVA's complexity
Pierre Henry-Labordère (Société Générale)

Testimonials

“This timely book shows very clearly that well thought through modelling is not only useful but necessary in order to help financial markets to operate smoothly and perform their social role properly...After reading this book it becomes clear that in the future these new and more realistic and accurate models will find wide applications and thus flourish and expand...The reader will benefit from the expertise of some of the sharpest thinkers in the field”.
Alex Lipton, Bank of America Merrill Lynch and Imperial College

Customer Reviews

Average customer reviews for Post-Crisis Quant Finance
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