Financial Models in Production

This book is concise, well written and contains the essentials to understand how to use models in finance. It insists on the fact that all of them are useful but they come with limitations. It is the only book that shows practical tips in order to industrialise a financial model in production. I strongly recommend it for risk managers, traders, students and quants.

Financial Models in Production

Othmane Kettani, Adil Reghai

SpringerBriefs in Finance

2020

Abstract

This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and control. Addressing some of the most important and cutting-edge issues, it describes how to build the necessary models in order to risk manage all the costs involved in options fabrication within the world of equity derivatives and hybrids. This is achieved by extending classical models and improving them in order to account for complex features.

The book is primarily aimed at market practitioners (traders, risk managers, risk control, top managers), as well as Masters students in Quantitative/Mathematical Finance. It will also be useful for instructors hoping to enrich their courses with practical examples. The prerequisites are basic stochastic calculus and a general knowledge of financial markets and financial derivatives.

Contents:

1. General Introduction
2. Black & Scholes (BS) Model
3. Local Volatility Model
4. Market Model P&L Explain

Citation

Othmane Kettani, Adil Reghai , Financial Models in Production, SpringerBriefs in Finance, 2020.

Collection

Kinh tế

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