Encyclopedia of quantitative finance
Encyclopedia of quantitative finance
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量化金融百科全书
DOI：
10.1002/9780470061602
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发表时间：
2010
影响因子：
1.3
通讯作者：
R. Cont
中科院分区：
文献类型：
--
作者：
R. Cont
从理论基础到最新的尖端方法，最初看起来不可能完成的任务已经成为一项艰巨的成就。千万岁!”——布鲁诺·杜皮尔博士（彭博社）《定量金融百科全书》是一本重要的参考著作，旨在提供与金融市场定量建模相关的基本主题的全面覆盖，并有来自领先学者和专业人士的权威贡献。《数量金融百科全书》汇集了金融经济学、计量经济学、数学金融学、运筹学、数值分析、风险管理和统计学等领域的专家的贡献，反映了其学科的多学科性质。该百科全书的作者包括全球400多名领先的学者和专业人士，为金融定量建模的理论和实践方面提供了平衡的观点。百科全书涵盖的主题包括金融定量建模的历史发展，包括有影响力的人物传记，对金融建模中使用的数学和统计工具的独立论述，对金融理论和数学金融基础的权威论述，包括套利定价、资产定价理论、期权定价和资产配置，对风险管理的各个方面的全面回顾；信用风险、市场风险、操作风险、经济资本和巴塞尔协议II，详细介绍了与信用风险相关的主题，并对计算金融的最新状况进行了调查。蒙特卡罗模拟，偏微分方程（PDEs），傅立叶变换方法，模型校准详细介绍了各种类型的金融衍生品和用于定价和对冲它们的方法，包括股票衍生品，信用衍生品，利率衍生品和外汇衍生品，金融中使用的计量经济学方法和模型的教学调查，包括GARCH模型，GMM，实现波动率，因子模型，混合数据采样和高频数据市场微观结构和贸易级建模的经验和理论方面及时进入新主题，如商品风险，电力衍生品，算法交易和精算科学中的多重分形定量方法，包括保险衍生品，巨灾债券，所有文章都包含与百科全书中其他相关文章的交叉引用，并包括详细的参考书目，以供进一步阅读。百科全书的范围和广度将使其成为金融学生和研究人员、定量分析师和开发人员、风险经理、投资组合经理、监管机构、金融市场分析师以及任何对当今金融市场和产品的复杂性感兴趣的人的宝贵资源。
"What initially looked like an impossible undertaking has become a formidable achievement, stretching from the theoretical foundations to the most recent cutting edge methods. Mille bravos!" - Dr Bruno Dupire (Bloomberg L.P.) The Encyclopedia of Quantitative Finance is a major reference work designed to provide a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals. Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometrics, mathematical finance, operations research, numerical analysis, risk management and statistics, the Encyclopedia of Quantitative Finance faithful reflects the multidisciplinary nature of its subject. With a pool of author comprising over 400 leading academics and professionals worldwide, the Encyclopedia provides a balanced view of theoretical and practical aspects of quantitative modelling in finance. Topics covered in the Encyclopedia include the historical development of quantitative modelling in finance, including biographies of influential figures self-contained expositions of mathematical and statistical tools used in financial modelling authoritative expositions on the foundations of financial theory and mathematical finance, including arbitrage pricing, asset pricing theory, option pricing and asset allocation comprehensive reviews of various aspects of risk management: credit risk, market risk, operational risk, economic capital and Basel II with a detailed coverage of topics related to credit risk up-to-date surveys of the state of the art in computational finance: Monte Carlo simulation, partial differential equations (PDEs), Fourier transform methods, model calibration detailed entries on various types of financial derivatives and methods used for pricing and hedging them, including equity derivatives, credit derivatives, interest rate derivatives and foreign exchange derivatives pedagogical surveys of econometric methods and models used in finance, including GARCH models, GMM, realized volatility, factor models, Mixed Data Sampling and high-frequency data empirical and theoretical aspects of market microstructure and trade-level modelling timely entries on new topics such as commodity risk, electricity derivatives, algorithmic trading and multi-fractals quantitative methods in actuarial science, including insurance derivatives, catastrophe bonds , equity-linked life insurance and other topics at the interface of finance and insurance All articles contain are cross-referenced to other relevant articles in the Encyclopedia and include detailed bibliographies for further reading. The scope and breadth of the Encyclopedia will make it an invaluable resource for students and researchers in finance, quantitative analysts and developers, risk managers, portfolio managers, regulators, financial market analysts and anyone interested in the complexity of today's financial markets and products.