The Petit D’euner de la Finance is a well-known quantitative finance seminar that has become a platform for the exchange of ideas between the academic and practitioners in quantitative finance. There are recent presentations in the Petit D’euner de la Finance. The most important emerging issues in quantitative finance are covered in this book.

FROM THE INSIDE FLAP RAMA CONT – FRONTIERS IN QUANTITATIVE FINANCE. VOLATILITY & CREDIT RISK MODELING

The Petit Déjeuner de la Finance is a well-known quantitative finance seminar that has become a platform for the exchange of ideas between the academic and practitioners in quantitative finance. A prestigious list of international speakers who are considered major contributors to recent developments in quantitative finance has been included in this seminar.

There are recent presentations in the Petit Déjeuner de la Finance. The most important emerging issues in quantitative finance are portfolio credit risk and volatility modeling.

The volume is divided into two parts. The first part deals with advances in option pricing and volatility modeling in the context of equity and index derivatives. Testing for static arbitrage is one of the topics. Recent advances in pricing models for credit derivatives are covered in the second part. The topics 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, Pierre Henry-Labordre, Lorenzo Bergomi, Peter Friz, Kay Giesecke, and Chris Rogers.

For quants, risk managers, consultants, graduate students in quantitative finance, hedge fund managers, and academics, Frontiers in Quantitative Finance is an indispensable guide to the state-of-the-art knowledge in credit risk and volatility modeling.

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