The book covers many topics relevant in quant fimance from a practitioner's point of view, backed with the knowledge the authors collected, when solving complex technical and financial problems with their advanced cross-sectoral mathematical schemes - for, say, blast furnaces, telescopes, combustion engines and quant finance, implemented in UnRisk for bank proof derivatives and risk analytics.

Highlights of the book are

  • an intensive discussion of inverse problems arising in model calibration and strategies to cure instabilities due to ill-posedness
  • optimization methods to target various problems such as parameter estimation and portolio optimization
  • finite element schemes and their stabilization for the partial different equations arising when contingent claims are priced under various models
  • Montecarlo methods and their application to American/Bermudan callable instruments using Least Squares modifications
  • numerical methods based on characetritic functions
  • the most important copulas
  • parallelization strategies in valuatuon and calibration engines
  • methods to calculate important risk measures
  • a discussion how valuation and data managment can be integrated and built into a large, automated risk managment system

A view into some of the sessions is collected in Mathematics and SW of the UnRisk Insight BLog.

The owners of the book will be entitled to use a web page, inviting them to play around with methods discussed in the book.

"The Workout is built of inspiring sessions about how to enjoy the freestiye of quant work, but staying strong, agile and balanced. It is about the power of mathemtical schemes explaining and computing financial behaviour, traps of wrong model-method pumps and the fitness killer of sloppy implemetations", summarizes Herbert Exner, UnRisk business developer, the benefit of reading the book.

 
 

 

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