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© 2015

Quantitative Finance

Back to Basic Principles

Benefits

  • Author has years of practical experience in designing and implementing financial models in practice

  • This book provides proven, market-focused solutions to all the main modeling problems for quants

  • One of the first books to focus on derivatives pricing in the industry taking into account new parameters set by the regulators

Book

Part of the Applied Quantitative Finance series book series (AQF)

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Adil Reghai
    Pages 1-2
  3. Adil Reghai
    Pages 3-27
  4. Adil Reghai
    Pages 101-121
  5. Adil Reghai
    Pages 122-123
  6. Adil Reghai
    Pages 124-152
  7. Adil Reghai
    Pages 161-183
  8. Adil Reghai
    Pages 184-214
  9. Adil Reghai
    Pages 215-215
  10. Back Matter
    Pages 216-223

About this book

Introduction

The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets.

Keywords

algorithms finance financial modeling Investment modeling pricing

Authors and affiliations

  1. 1.NATIXISFrance

About the authors

Adil Reghai (Paris, France) is head of Quantitative Research on Equity and Commodity Derivatives and Quantitative Investments at Natixis, a leading asset management company and one of the largest in the world. A graduate from Ecole Polytechnique (X92) and Ecole des Mines (P94), Paris, Adil was formerly in charge of quantitative research at Merrill Lynch, BNP Paribas and Calyon. He has participated in numerous quantitative finance conferences including Mathfinance and IQPC events, and lectures on the Financial Mathematics MSc in Nice. Adil's main research interests are local volatility, stochastic volatility, local correlation and hybrids, numerical techniques and applied finance.

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

'Bâle III identifies Valuation and Risk models as key features to be measured and followed. Recently, with the wide spread mission of the Asset Quality Review (AQR) regulators reinforced best practices in this field proposing concrete solutions. This book offers a step by step introduction to the usage of models in practice and assesses the fair valuation as well as the model risk measurement. It is done with pedagogy and helps the reader fine tune the choice of model following an incremental implementation methodology for many practical situations'.

- Jean-Marc Prevost, Global Head of Model Validation, Natixis.

'This is the only book I know of written by both a true practitioner of quantitative finance and a true scientist. For more than 15 years, Adil Reghai has constantly delivered models and products in production and for different market regimes. This book shares this learning experience on the usage of models and how to build them and make them evolve over time and market regimes. This book shows that in mathematical finance both historical data (past looking approach) and market prices (forward looking approach) must be combined to design an effective modelling approach. Finally, I recommend this book as it is full of tricks, graphs and well chosen examples that help develop easy learning by intuition'.

- Nicolas Grandchamp Des Raux, Head of Equity Derivatives Research, HSBC.