Synopsis
The Petit Déjeuner de la Finance—which Rama Cont has been co-organizing in Paris since 1998—is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. This seminar has included a prestigious list of international speakers who are considered major contributors to recent developments in quantitative finance.
Frontiers in Quantitative Finance is a selection of recent presentations in the Petit Déjeuner de la Finance. Leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
This comprehensive volume is divided into two parts. The first part (Chapters 1–5) deals with advances in option pricing and volatility modeling in the context of equity and index derivatives. Topics include tests for static arbitrage, asymptotics of implied volatility, jump-diffusion models, variance swaps, and cliquet options. The second part (Chapters 6–11) covers recent advances in pricing models for credit derivatives. Topics here include structural vs. hazard rate models, factor models and top-down models for portfolio credit derivatives, and forward equations for CDO pricing.
Contributors to this volume include Areski Cousin, Alexandre d'Aspremont, Shalom Benaim, Lorenzo Bergomi, Peter Friz, Kay Giesecke, Pierre Henry-Labordère, Jean-Paul Laurent, Roger Lee, Chris Rogers, Ioana Savescu, Erik Schlögl, Lutz Schlögl, Peter Tankov, Julien Turc, Philippe Very, and Ekaterina Voltchkova.
For quants, risk managers, consultants, graduate students in quantitative finance, hedge fund managers, and academics, Frontiers in Quantitative Finance is an invaluable guide to the state-of-the-art knowledge in credit risk and volatility modeling.