Risk Books, Mauro Cesa – Post Crisis Quant Finance

It is this new wave of developments that is the focus of Post-Crisis Quant Finance, edited and introduced by Risk magazine’s Technical Editor, Mauro Cesa. Post-Crisis Quant Finance brings together for the first time 20 peer-reviewed papers from the Cutting Edge series of Risk, internationally recognised among the quantitative community.

Contributors include Jesper Andreasen, Marco Avellaneda, Lorenzo Bergomi, Christoph Burgard, Jon Gregory, Julien Guyon, Brian Huge, Mats Kjaer, Richard Martin, Vladimir Piterbarg, Michael Pykhtin and Robin Stuart.

The book is divided into three sections.

I – Derivatives pricing, including

• equity derivatives;
• interest rates;
• derivatives;
• multiple-curve environments;
• collateralisation; and,
• pricing model calibration.

II – Asset and risk management, including

• liquidity risk;
• short selling;
• risk measurement tools; and,
• correlation structures,

III – Counterparty credit risk, including

• its bilateral formulation;
• connection with risk capital;
• stochastic representations;
• challenging computation; and,
• residual value of a deal at close-out.

As Alexander Lipton, writing in the foreword says: “The reader will benefit from the expertise of some of the sharpest thinkers in the field”.

This book outlines practically relevant solutions to the complexities faced by quants post-crisis. Each of the 20 chapters targets a specific technical issue including pricing, hedging and risk management of financial securities.

Post-Crisis Quant Finance is a must-read for quants, statisticians, researchers, risk managers, analysts and economists looking for the latest practical quantitative models designed by expert market practitioners.