Contents
Introduction ix
Paul Wilmott
I Education in Quantitative Finance 1
Riaz Ahmad
II FinancialCAD 5
Owen Walsh
III Quantitative Finance Review 2003 7
Dan Tudball
Chapter 1 Rewind 11
Dan Tudball
Chapter 2 In for the Count 19
Dan Tudball
Chapter 3 A Perspective on Quantitative Finance: Models for Beating
the Market 33
Ed Thorp
Chapter 4 Psychology in Financial Markets 39
Henri¨ette Prast
Chapter 5 Credit Risk Appraisal: From the Firm Structural Approach
to Modern Probabilistic Methodologies 59
Hugues E. Pirotte Sp´eder
Chapter 6 Modelling and Measuring Sovereign Credit Risk 69
Ephraim Clark
Chapter 7 The Equity-to-credit Problem (or the Story of Calibration,
Co-calibration and Re-calibration) 79
Elie Ayache
Chapter 8 Measuring Country Risk as Implied Volatility 109
Ephraim Clark
Chapter 9 Next Generation Models for Convertible Bonds with Credit Risk 117
E. Ayache, P. A. Forsyth and K. R. Vetzal
Chapter 10 First to Default Swaps 135
Antony Penaud and James Selfe
Chapter 11 Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions 143
Philipp J. Sch¨onbucher
Chapter 12 Sovereign Debt Default Risk: Quantifying the (Un)Willingness to Pay 161
Ephraim Clark
Chapter 13 Chord of Association 167
Aaron Brown
Chapter 14 Introducing Variety in Risk Management 181
Fabrizio Lillo, Rosario N. Mantegna, Jean-Philippe Bouchaud
and Marc Potters
Chapter 15 Alternative Large Risks Hedging Strategies
for Options 191
F. Selmi and Jean-Philippe Bouchaud
Chapter 16 On Exercising American Options: The Risk of Making More Money
than You Expected 199
Hyungsok Ahn and Paul Wilmott
Chapter 17 Phi-alpha Optimal Portfolios and Extreme Risk Management 223
R. Douglas Martin, Svetlozar (Zari) Rachev, and Frederic Siboulet
Chapter 18 Managing Smile Risk 249
Patrick S. Hagan, Deep Kumar, Andrew S. Lesniewski and
Diana E. Woodward
Chapter 19 Adjusters: Turning Good Prices into Great Prices 297
Patrick S. Hagan
Chapter 20 Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors 305
Patrick S. Hagan
Chapter 21 Mind the Cap 319
Peter J¨ackel
Chapter 22 The Art and Science of Curve Building 349
Owen Walsh
Chapter 23 Stochastic Volatility Models: Past, Present and Future 355
Peter J¨ackel
Chapter 24 Cliquet Options and Volatility Models 379
Paul Wilmott
Chapter 25 Long Memory and Regime Shifts in Asset Volatility 391
Jonathan Kinlay
Chapter 26 Heston’s Stochastic Volatility Model: Implementation, Calibration and
Some Extensions 401
Sergei Mikhailov and Ulrich N¨ogel
Chapter 27 Forward-start Options in Stochastic Volatility Models 413
Vladimir Lucic
Chapter 28 Stochastic Volatility and Mean-variance Analysis 421
Hyungsok Ahn and Paul Wilmott
Index 435 |
