Some of the best minds in quantitative finance share their insights on important financial modeling issues
Quantitative research in finance has spurred innovation in derivatives markets during the last decade--especially when it comes to volatility modeling and credit risk. Frontiers in Quantitative Finance develops these ideas through the contributions of numerous experts in this field. Divided into two informative parts, this comprehensive guide deals with advances in volatility modeling in the context of equity and index derivatives, and covers recent advances in pricing models for CDOs and portfolio credit derivatives. Topics covered include: behavior of implied volatility for large strikes and small maturities; top-down models for portfolio credit derivatives; factor models for CDO pricing; Bergomi's model for variance swap dynamics; and much more.
Dr. Rama Cont (New York, NY) is Associate Professor at Columbia University and Director of the Columbia Center for Financial Engineering.
