Advanced Methods of Quantitative Finance

Anotace

In the past thirty years we have witnessed the growth of using mathematical methods in finance. Research on derivative pricing and financial risk management lead financial institutions to hire specialists with mathematical background who can use advanced analytical, statistical and numerical techniques to price derivative and structured products and manage portfolio risks. This books deals with some special problems existing in contemporary quantitative finance. Team of authors processed some actual topics as CVA modeling, volatility estimation, fat tail modeling and more.