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Deep dive into financial models : modeling risk and uncertainty / Mathieu Le Bellac and Arnaud Viricel.

By: Contributor(s): Material type: TextTextPublication details: Singapore : World Scientific, ©2017.Description: xi, 219 pages : illustrations (some color) ; 23 cmISBN:
  • 9789813143715
Subject(s): DDC classification:
  • 332.63222 23 L442
Contents:
1. Interest rates -- 2. Credit risk modeling -- 3. Portfolio management theories -- 4. No-arbitrage theory -- 5. The Black-Scholes model -- 6. Volatility models -- 7. Numerical methods -- 8. Value at risk (VaR) -- 9. Non-gaussian models.
Summary: Since 2007, the repeated financial crises around the world have brought to the headlines financial practices and models considered to fuel the economic instabilities. Deep Dive into Financial Models: Modeling Risk and Uncertainty comes handy in demystifying the underlying quantitative finance concepts. With a limited use of mathematical formalism, the book explains thoroughly the models, their hypotheses, principles and other building blocks. A particular care is given to model limitations and their misuse for investment strategies, asset pricing, or risk management. Its reader-friendly nature provides readers with a head start in quantitative finance.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 332.63222 L442 (Browse shelf(Opens below)) Available 138360
Total holds: 0

Includes bibliographical references and index.

1. Interest rates --
2. Credit risk modeling --
3. Portfolio management theories --
4. No-arbitrage theory --
5. The Black-Scholes model --
6. Volatility models --
7. Numerical methods --
8. Value at risk (VaR) --
9. Non-gaussian models.

Since 2007, the repeated financial crises around the world have brought to the headlines financial practices and models considered to fuel the economic instabilities. Deep Dive into Financial Models: Modeling Risk and Uncertainty comes handy in demystifying the underlying quantitative finance concepts. With a limited use of mathematical formalism, the book explains thoroughly the models, their hypotheses, principles and other building blocks. A particular care is given to model limitations and their misuse for investment strategies, asset pricing, or risk management. Its reader-friendly nature provides readers with a head start in quantitative finance.

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