Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling

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Rama Cont
John Wiley & Sons, Mar 9, 2009 - Business & Economics - 300 pages
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The Petit D'euner de la Finance–which author 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. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.

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Title Page
A Moment Approach to Static Arbitrage
CHAPTER 2On BlackScholes Implied Volatilityat Extreme Strikes
An Overview of Factor Modeling for CDO Pricing
Factor Distributions Implied by Quoted CDOSpreads 8 1 INTRODUCTION
Modeling CreditRisk 6 1 WHATISTHE PROBLEM?
TopDown versus BottomUp Approaches
Forward Equations for Portfolio Credit Derivatives

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About the author (2009)

Rama Cont is Associate Professor at Columbia University and Director of the Columbia Center for Financial Engineering. He is also a founding partner of Finance Concepts, a firm offering training and consulting services in quantitative finance and risk management.

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