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Palgrave Macmillan

Quantitative Finance

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  • Book
  • © 2015

Overview

Authors:
  1. Adil Reghai

    1. NATIXIS, France

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  • Author has years of practical experience in designing and implementing financial models in practice
  • This book provides proven, market-focused solutions to all the main modeling problems for quants
  • One of the first books to focus on derivatives pricing in the industry taking into account new parameters set by the regulators

Part of the book series: Applied Quantitative Finance (AQF)

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Table of contents (11 chapters)

  1. Front Matter

    Pages i-xxiii
    Download chapter PDF

  2. Financial Modeling

    • Adil Reghai
    Pages 1-2

  3. About Modeling

    • Adil Reghai
    Pages 3-27

  4. From Black & Scholes to the emergence of Smile Modeling

    • Adil Reghai
    Pages 28-93

  5. What is the Fair Value in the Presence of the Smile?

    • Adil Reghai
    Pages 94-100

  6. Mono Underlying Risk Exploration

    • Adil Reghai
    Pages 101-121

  7. A General Pricing Formula

    • Adil Reghai
    Pages 122-123

  8. Multi-Asset Case

    • Adil Reghai
    Pages 124-152

  9. Discounting and General Value Adjustment Techniques

    • Adil Reghai
    Pages 153-160

  10. Investment Algorithms

    • Adil Reghai
    Pages 161-183

  11. Building Monitoring Signals

    • Adil Reghai
    Pages 184-214

  12. General Conclusion

    • Adil Reghai
    Pages 215-215

  13. Back Matter

    Pages 216-223
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Keywords

About this book

The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets.

Reviews

'Bâle III identifies Valuation and Risk models as key features to be measured and followed. Recently, with the wide spread mission of the Asset Quality Review (AQR) regulators reinforced best practices in this field proposing concrete solutions. This book offers a step by step introduction to the usage of models in practice and assesses the fair valuation as well as the model risk measurement. It is done with pedagogy and helps the reader fine tune the choice of model following an incremental implementation methodology for many practical situations'.

- Jean-Marc Prevost, Global Head of Model Validation, Natixis.

'This is the only book I know of written by both a true practitioner of quantitative finance and a true scientist. For more than 15 years, Adil Reghai has constantly delivered models and products in production and for different market regimes. This book shares this learning experience on the usage of models and how to build them and make them evolve over time and market regimes. This book shows that in mathematical finance both historical data (past looking approach) and market prices (forward looking approach) must be combined to design an effective modelling approach. Finally, I recommend this book as it is full of tricks, graphs and well chosen examples that help develop easy learning by intuition'.

- Nicolas Grandchamp Des Raux, Head of Equity Derivatives Research, HSBC.

Authors and Affiliations

  • NATIXIS, France

    Adil Reghai

About the author

Adil Reghai (Paris, France) is head of Quantitative Research on Equity and Commodity Derivatives and Quantitative Investments at Natixis, a leading asset management company and one of the largest in the world. A graduate from Ecole Polytechnique (X92) and Ecole des Mines (P94), Paris, Adil was formerly in charge of quantitative research at Merrill Lynch, BNP Paribas and Calyon. He has participated in numerous quantitative finance conferences including Mathfinance and IQPC events, and lectures on the Financial Mathematics MSc in Nice. Adil's main research interests are local volatility, stochastic volatility, local correlation and hybrids, numerical techniques and applied finance.

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