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Encyclopedia of Quantitative Finance, 4 Volume Set

Rama Cont

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ISBN 10: 0470057564 / ISBN 13: 9780470057568
Published by John Wiley & Sons, 2010
New Condition: Brand New Hardcover
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Bibliographic Details

Title: Encyclopedia of Quantitative Finance, 4 ...

Publisher: John Wiley & Sons

Publication Date: 2010

Binding: Hardcover

Book Condition:Brand New

About this title


"What initially looked like an impossible undertaking has become aformidable achievement, stretching from the theoretical foundationsto the most recent cutting edge methods. Mille bravos!"
Dr Bruno Dupire (Bloomberg L.P.)

The Encyclopedia of Quantitative Finance is a majorreference work designed to provide a comprehensive coverage ofessential topics related to the quantitative modelling of financialmarkets, with authoritative contributions from leading academicsand professionals.

Drawing on contributions from a wide spectrum of experts infields including financial economics, econometrics, mathematicalfinance, operations research, numerical analysis, risk managementand statistics, the Encyclopedia of Quantitative Financefaithful reflects the multidisciplinary nature of itssubject.
With a pool of author comprising over 400 leading academics andprofessionals worldwide, the Encyclopedia provides a balanced viewof theoretical and practical aspects of quantitative modelling infinance.

Topics covered in the Encyclopedia include

  • the historical development of quantitative modelling infinance, including biographies of influential figures
  • self-contained expositions of mathematical and statisticaltools used in financial modelling
  • authoritative expositions on the foundations of financialtheory and mathematical finance, including arbitrage pricing, assetpricing theory, option pricing and asset allocation
  • comprehensive reviews of various aspects of risk management:credit risk, market risk, operational risk, economic capital andBasel II with a detailed coverage of topics related to creditrisk
  • up-to-date surveys of the state of the art in computationalfinance: Monte Carlo simulation, partial differential equations(PDEs), Fourier transform methods, model calibration
  • detailed entries on various types of financial derivatives andmethods used for pricing and hedging them, including equityderivatives, credit derivatives, interest rate derivatives andforeign exchange derivatives
  • pedagogical surveys of econometric methods and models used infinance, including GARCH models, GMM, realized volatility, factormodels, Mixed Data Sampling and high-frequency data
  • empirical and theoretical aspects of market microstructure andtrade-level modelling
  • timely entries on new topics such as commodity risk,electricity derivatives, algorithmic trading andmulti-fractals
  • quantitative methods in actuarial science, including insurancederivatives, catastrophe bonds , equity-linked life insurance andother topics at the interface of finance and insurance

All articles contain are cross-referenced to other relevantarticles in the Encyclopedia and include detailed bibliographiesfor further reading.

The scope and breadth of the Encyclopedia will make it aninvaluable resource for students and researchers in finance,quantitative analysts and developers, risk managers, portfoliomanagers, regulators, financial market analysts and anyoneinterested in the complexity of today’s financial markets andproducts.

About the Author:

Rama Cont, Paris, France, is Associate Professor, School of Engineering and Applied Science, Columbia University, New York, and Senior Research Scientist, Centre National de Recherche Scientifique, France. Rama is also a faculty member of Columbia Center for Applied Probability; Partner in Finance Concepts, and a senior academic fellow at the Europlace Institute. Educated in France, Rama has a Diplome de l'Ecole Polytechnique in Engineering, 1994, a DEA Physique Théorique from Ecole Normale Supérieure, 1995, and a Doctorat from Université de Paris XI, Orsay, 1998. In 2005 Rama studied for a Habilitation a diriger des recherches en Mathematiques Appliquees at the Universite de Paris VI. Rama has written a number of research papers on Quantitative Finance and co-authored Financial Modelling with Jump Processes (CRC Press, 2003).

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