Quantitative Finance and Risk Management: A Physicist's Approach »

Jan Dash was Director of Quantitative Analysis at Citigroup/Salomon Smith Barney, Fuji Capital Markets Corp, and Euro Brokers. He began his Wall Street career in 1987 as V.P. Manager at Merrill Lynch. He introduced path integrals for options, managed PhD quant groups, and worked in many areas in finance involving all the topics in this book. He has a PhD in physics from UC Berkeley, was Directeur de Recherche at the Centre de Physique Théorique CNRS Marseille, and published over 60 scientific papers.

Written by a physicist with 16 years of experience as a director of quantitative analysis on Wall Street, this book presents the theory and practice of quantitative finance and risk for scientists, engineers, quantitative analysts, and finance graduate students, delving into aspects not usually covered in textbooks and research papers. Both standard and new results are presented. Presentation for both finance and math is self-contained, and a "technical index" indicates the mathematical level, from zero to PhD, for each chapter. The writing style is informal and often humorous. Annotation ©2004 Book News, Inc., Portland, OR

1. Standard and Advanced Theory and Practical Applications in Fixed Income, Equities, FX
2. Quantitative Finance and Risk Management Topics: Traditional and Exotic Derivatives, Market Risk, Credit Issuer Risk, Stressed Correlation Matrices, Fat Tails, Stressed/Enhanced VAR, Model Risk/Quality Assurance, Numerical Techniques, Deals/Portfolios, Systems, Data, Economic Capital, Reggeon Field Theory, A Function Toolkit
3. Case Studies in Corporate Finance and Options
4. "Life as a Quant": Communication Issues, Sociology, Stories, Advice
5. Risk Lab: The Nuts and Bolts of Risk Management
6. Research Topic: The Macro-Micro Model Producing Realistic Yield-Curve Movements, While Combining Aspects of Economics and Finance (with Multiple Time Scales, Multiple Factors, Quasi-Random Macro Trends, Strong Mean-Reverting Micro Trading Fluctuations, Occasional Jumps)
7. Feynman Path Integrals, Green Functions, and Options