Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market - Hardcover

Yi Tang; Bin Li

Hardcover

ISBN 10: 9810240791 ISBN 13: 9789810240790

Publisher: World Scientific Publishing Company, 2006

Synopsis

This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors' own research and practice. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.Among the modeling and the numerical techniques presented are the practical applications of the martingale theories, such as martingale model factory and martingale resampling and interpolation. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies from the perspective of a front office functionality and a revenue center (rather than merely a risk management functionality), which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, and credit extinguishers.While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, foreign exchange, and commodity markets.

About this title

About the Author

Yi Tang is currently with Goldman, Sachs & Co., Inc. as the head of a Strategies Group in FICC. Previously, he was with Bear, Stearns & Co., Inc. as a Managing Director / Principal in the F.A.S.T Department and the head of a Quant group responsible for part of the interest rate derivatives modeling and part of the IR/Credit hybrid derivatives modeling. Prior to that, he was a Vice Present in a Quant group at Goldman, Sachs & Co, Inc. He also worked as a Quantitative Financial Analyst at Cambix and Rubicon Financial Systems, Inc. Before switching to the field of Quantitative Finance, he worked as an Adjunct Assistant Professor of Physics and a Postdoc researcher at UCLA, and as a Senior Scientist and a Project Manager at Princeton Electronic Systems, Inc. with extensive collaborations with Sarnoff Corporation, formerly RCA. Yi has been an invited speaker at several conferences/seminars on Quantitative Finance. He received his PhD in Physics from University of California at Los Angeles (UCLA) in 1992. Bin Li currently is the Chairman of the Board of Directors and CEO of Westport Financial LLC. Bin is an internationally well-known researcher and practitioner in the finance industry. Prior to co-founding Westport Financial LLC in October 1998, Bin was Executive Director, Head of Quantitative Trading Strategies at Warburg Dillon Read, the investment banking division of the United Bank of Switzerland. From 1993 to 1997, Bin was a Vice President at Merrill Lynch, headed the Quantitative Analysis Group. Bin has been an invited speaker at many conferences/workshops on Quantitative Finance. Bin received his PhD in Physics from New York University in 1992.

Review

It is quite obvious that the authors have significant practical experience in sophisticated quantitative analysis and derivatives modeling. This real world focus has resulted in a text that not only provides clear presentations on modeling, pricing and hedging derivatives products, but also provides more advanced material that is usually found only in research publications. This book has innovative ideas, state of the art applications, and contains a wealth of valuable information that will interest academics, applied quantitative derivatives modelers, and traders.

Edition details

• Publisher: World Scientific Publishing Company
• Publication date: 2006
• ISBN 10: 9810240791
• ISBN 13: 9789810240790
• Binding: Hardcover
• Language: English
• Number of pages: 520