Theoretical Foundations for Quantitative Finance - Hardcover

Luca Spadafora; Gennady P Berman

Hardcover

ISBN 10: 9813202475 ISBN 13: 9789813202474

Publisher: World Scientific Publishing Company, 2017

Synopsis

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.

About this title

About the Author

Luca Spadafora is Head of Quantitative Market Models Validation at Banco Popolare after about 10 years of experience as Quantitative Analyst in the main Italian banks. His experience extends from option pricing to market risk models, including the development of algo-trading strategies and counterparty credit risk estimation. He is Adjoint Professor at Dept. of Mathematics, Physics and Natural Sciences, Università Cattolica del Sacro Cuore (Brescia, Italy) where he teaches Quantitative Finance. His research areas range from risk management to option pricing with a particular interest in the volatility estimation. He has presented national and international conference papers and published journal articles on his main research areas. Luca holds a Master Degree in Theoretical Physics at Università Cattolica del Sacro Cuore and a PhD in Econophysics at Università Statale di Milano (Italy).

Gennady Berman graduated Novosibirsk State University in 1970, Russia. He received his PhD in physics and mathematics at the Kirensky Institute of Physics, in 1974. He defended the Doctor Degree in Moscow, Russia, in 1989. He moved to the Theoretical Division at the Los Alamos National Laboratory (LANL) in 1992, where he worked as a scientist on the theory of quantum computation, quantum measurement, and quantum nonequilibrium processes, and data mining problems. In 2014, he joined the Biological Division at LANL and the New Mexico Consortium, where he works on the theory and modeling of nonequilibrium and stochastic processes. He has more than 250 publications in these fields, and is the author of seven books.

Edition details

• Publisher: World Scientific Publishing Company
• Publication date: 2017
• Language: English
• ISBN 10: 9813202475
• ISBN 13: 9789813202474
• Binding: Hardcover
• Number of pages: 280