"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
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
Topics covered in the Encyclopedia includethe historical
development of quantitative modelling in finance, including
biographies of influential figuresself-contained expositions of
mathematical and statistical tools used in financial
modellingauthoritative expositions on the foundations of financial
theory and mathematical finance, including arbitrage pricing, asset
pricing theory, option pricing and asset allocationcomprehensive
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 riskup-to-date
surveys of the state of the art in computational finance: Monte
Carlo simulation, partial differential equations (PDEs), Fourier
transform methods, model calibrationdetailed 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
derivativespedagogical surveys of econometric methods and models
used in finance, including GARCH models, GMM, realized volatility,
factor models, Mixed Data Sampling and high-frequency dataempirical
and theoretical aspects of market microstructure and trade-level
modellingtimely entries on new topics such as commodity risk,
electricity derivatives, algorithmic trading and
multi-fractalsquantitative methods in actuarial science, including
insurance derivatives, catastrophe bonds, equity-linked life
insurance and other topics at the interface of finance and
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
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