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SpringerBriefs in Finance

Financial Models in Production

Authors: Kettani, Othmane, Reghai, Adil

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  • Provides a practical guide to the implementation and use of financial models for pricing and risk-management
  • Summarizes recent developments in the evolving world of exotics
  • Features a discussion on how to price Autocallables
  • Provides code (upon request) on how the models can be implemented in practice
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eBook $44.99
price for USA in USD
  • ISBN 978-3-030-57496-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.99
price for USA in USD
  • ISBN 978-3-030-57495-6
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
About this book

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. 

About the authors

Adil Reghai graduated from Ecole Polytechnique and Ecole des Mines de Paris. He worked as a quant for two decades developing models, algorithms and designing risk systems. He is now head of equity and commodity derivatives research quant, and a guest lecturer at SKEMA Business School. He is the author of two books.
Othmane Kettani holds a Master of Research and a PhD in Finance from Paris I Panthéon-Sorbonne University, as well as a University Degree in Business Law from Paris II Panthéon-Assas University. He also graduated from Supélec and ESCP Europe. He works now as equity derivatives research quant at Natixis, and is a part-time lecturer at Paris I University (Master of Research Financial Markets and Risk Management, Course Option Pricing Theory).

Table of contents (4 chapters)

Table of contents (4 chapters)

Buy this book

eBook $44.99
price for USA in USD
  • ISBN 978-3-030-57496-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.99
price for USA in USD
  • ISBN 978-3-030-57495-6
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Financial Models in Production
Authors
Series Title
SpringerBriefs in Finance
Copyright
2020
Publisher
Springer International Publishing
Copyright Holder
The Author(s), under exclusive license to Springer Nature Switzerland AG
eBook ISBN
978-3-030-57496-3
DOI
10.1007/978-3-030-57496-3
Softcover ISBN
978-3-030-57495-6
Series ISSN
2193-1720
Edition Number
1
Number of Pages
XIV, 61
Number of Illustrations
11 b/w illustrations, 21 illustrations in colour
Topics