In addition to the printe
d copy in the Central Library this multi-volume reference work is now also available online via the Library Catalogue.
The Encyclopedia of Quantitative Finance by Rama Cont covers topics including:
• The historical development of quantitative modeling in finance, including biographies of influential figures
• Self-contained expositions of mathematical and statistical tools used in financial modeling
• Authoritative expositions on the foundations of financial theory and mathematical finance, including arbitrage pricing, asset pricing theory, option pricing and asset allocation
• Comprehensive reviews of various aspects of risk management: credit risk, market risk, operational risk, economic capital and Basel II with a detailed coverage of topics related to credit risk
• Up-to-date surveys of the state of the art in computational finance: Monte Carlo simulation, partial differential equations (PDEs), Fourier transforms methods, model calibration
• Detailed entries on various types of financial derivatives and methods used for pricing and hedging them, including equity derivatives, credit derivatives, interest rate derivatives and foreign exchange derivatives
• Pedagogical surveys of econometric methods and models used in finance, including GARCH models, GMM, realized volatility, factor models, Mixed Data Sampling and high-frequency data
• Empirical and theoretical aspects of market microstructure and trade-level modeling
• Timely entries on new topics such as commodity risk, electricity derivatives, algorithmic trading and multi-fractals
• Quantitative methods in actuarial science, including insurance derivatives, catastrophe bonds , equity-linked life insurance and other topics at the interface of finance and insurance