Book description
"What initially looked like an impossible undertaking has become a formidable achievement, stretching from the theoretical foundations to the most recent cutting edge methods. Mille bravos!"
—Dr Bruno Dupire (Bloomberg L.P.)
The Encyclopedia of Quantitative Finance is a major reference work designed to provide a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals.
Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometrics, mathematical finance, operations research, numerical analysis, risk management and statistics, the Encyclopedia of Quantitative Finance faithful reflects the multidisciplinary nature of its subject.
With a pool of author comprising over 400 leading academics and professionals worldwide, the Encyclopedia provides a balanced view of theoretical and practical aspects of quantitative modelling in finance.
Topics covered in the Encyclopedia include
the historical development of quantitative modelling in finance, including biographies of influential figures
selfcontained expositions of mathematical and statistical tools used in financial modelling
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
uptodate surveys of the state of the art in computational finance: Monte Carlo simulation, partial differential equations (PDEs), Fourier transform 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 highfrequency data
empirical and theoretical aspects of market microstructure and tradelevel modelling
timely entries on new topics such as commodity risk, electricity derivatives, algorithmic trading and multifractals
quantitative methods in actuarial science, including insurance derivatives, catastrophe bonds , equitylinked life insurance and other topics at the interface of finance and insurance
All articles contain are crossreferenced to other relevant articles in the Encyclopedia and include detailed bibliographies for further reading.
The scope and breadth of the Encyclopedia will make it an invaluable resource for students and researchers in finance, quantitative analysts and developers, risk managers, portfolio managers, regulators, financial market analysts and anyone interested in the complexity of today's financial markets and products.
Table of contents
 Coverpage
 Titlepage
 Copyright
 Editorial Board
 Dedication
 Contents
 Contributors
 Foreword
 Preface
 Abbreviations and Acronyms

Volume 1
 ABS Indices
 Accumulated Claims
 Actuarial Premium Principles
 Adverse Selection
 Affine Models
 Algorithmic Trading
 Alternating Direction Implicit (ADI) Method
 Altiplano Option
 Ambiguity
 American Options
 Arbitrage Bounds
 Arbitrage: Historical Perspectives
 Arbitrage Pricing Theory
 Arbitrage Strategy
 Arrow, Kenneth
 Arrow–Debreu Prices
 Asian Options
 Asset–Liability Management
 Atlas Option
 Autocall
 Automated Trading
 Autoregressive Moving Average (ARMA) Processes
 Average Strike Options
 Bachelier, Louis (1870–1946)
 Backtesting
 Backward Stochastic Differential Equations
 Backward Stochastic Differential Equations:Numerical Methods
 BarndorffNielsen and Shephard (BNS) Models
 Barrier Options
 Base Correlation
 Basket Default Swaps
 Basket Options
 Bates Model
 Behavioral Portfolio Selection
 Bermudan Options
 Bermudan Swaptions and Callable Libor Exotics
 Bernoulli, Jacob
 Bid–Ask Spreads
 Binomial Tree
 Black, Fischer
 Black–Litterman Approach
 Black–Scholes Formula
 Bond
 Bond Options
 Bubbles and Crashes
 Butterfly
 Call Auction Markets
 Call Options
 Call Spread
 Capital Asset Pricing Model
 Caps and Floors
 Catastrophe Bonds
 CDO Square
 CDO Tranches: Impact on Economic Capital
 Change of Numeraire
 Cliquet Options
 CMS Spread Products
 Collateralized Debt Obligation (CDO) Options
 Collateralized Debt Obligations (CDO)
 Commodities and Numéraire
 Commodity Forward Curve Modeling
 Commodity Price Models
 Commodity Risk
 Commodity Trading
 Compensators
 Complete Markets
 Conjugate Gradient Methods
 Constant Elasticity of Variance (CEV) Diffusion Model
 Constant Maturity Credit Default Swap
 Constant Maturity Swap
 Constant Proportion Portfolio Insurance
 Convertible Bonds
 Convex Duality
 Convex Risk Measures
 Convexity Adjustments
 Copulas: Estimation
 Copulas in Econometrics
 Copulas in Insurance
 Correlation Risk
 Correlation Swap
 Corridor Options
 Corridor Variance Swap
 Counterparty Credit Risk
 Cox–Ingersoll–Ross (CIR) Model
 Cramér–Lundberg Estimates
 Cramér’s Theorem
 Crank–Nicolson Scheme
 Credibility Theory
 Credit Default Swap (CDS) Indices
 Credit Default Swap Index Options
 Credit Default Swaps
 Credit Default Swaption
 Credit Migration Models
 Credit Portfolio Insurance
 Credit Portfolio Simulation
 Credit Rating
 Credit Risk
 CreditRisk+
 Credit Scoring
 Currency Forward Contracts
 Default Barrier Models
 Default Time Copulas
 Delta Hedging
 Discretely Monitored Options
 Dispersion Trading
 Diversification
 Dividend Modeling
 Doob–Meyer Decomposition
 Drawdown Minimization
 Duffie–Singleton Model
 Dupire Equation
 Duration Models

Volume 2
 Early Exercise Options: Upper Bounds
 Econometrics of Diffusion Models
 Econometrics of Option Pricing
 Economic Capital
 Economic Capital Allocation
 Econophysics
 Efficient Market Hypothesis
 Efficient Markets Theory: Historical Perspectives
 Electricity Forward Contracts
 Electricity Markets
 Emissions Trading
 Employee Stock Options
 Entropybased Estimation
 Equity–Credit Problem
 Equity Default Swaps
 Equity Swaps
 Equivalence of Probability Measures
 Equivalent Martingale Measures
 Esscher Transform
 Eurodollar Futures and Options
 Exchange Options
 Exchangetraded Funds (ETFs)
 Execution Costs
 Exercise Boundary Optimization Methods
 Expectations Hypothesis
 Expected Shortfall
 Expected Utility Maximization
 Expected Utility Maximization: Duality Methods
 Exponential Lévy Models
 Exposure to Default and Loss Given Default
 Extreme Value Theory
 Factor Models
 Filtering
 Filtrations
 Finite Difference Methods for Barrier Options
 Finite Difference Methods for Early Exercise Options
 Finite Element Methods
 Fisher, Irving
 Fixed Mix Strategy
 Foreign Exchange Basket Options
 Foreign Exchange Markets
 Foreign Exchange Options
 Foreign Exchange Options: Deltaand Atthemoney Conventions
 Foreign Exchange Smile Interpolation
 Foreign Exchange Smiles
 Foreign Exchange Symmetries
 Forward and Swap Measures
 Forward–Backward Stochastic Differential Equations (SDEs)
 Forwardstarting CDO Tranche
 Forwards and Futures
 Fourier Methods in Options Pricing
 Fourier Transform
 Fractional Brownian Motion
 Free Lunch
 Fundamental Theorem of Asset Pricing
 Gamma Hedging
 Gamma Swap
 GARCH Models
 Gaussian Copula Model
 Gaussian InterestRate Models
 Generalized Hyperbolic Models
 Generalized Method of Moments (GMM)
 Gerber–Shiu Function
 Glosten–Milgrom Models
 Gooddeal Bounds
 Hazard Rate
 Heath–Jarrow–Morton Approach
 Heavy Tails
 Heavy Tails in Insurance
 Hedge Funds
 Hedging
 Hedging of Interest Rate Derivatives
 Heston Model
 Highfrequency Data
 Himalayan Option
 Hull–White Stochastic Volatility Model
 Implied Volatility: Large Strike Asymptotics
 Implied Volatility: Long Maturity Behavior
 Implied Volatility: Market Models
 Implied Volatility in Stochastic Volatility Models
 Implied Volatility Surface
 Implied Volatility: Volvol Expansion
 Infinite Divisibility
 Inflation Derivatives
 Insurance Derivatives
 Insurance Risk Models
 Integral Equation Methods for Free Boundaries
 Intensitybased Credit Risk Models
 Intensity Gamma Model
 Internalratingsbased Approach
 Intraday Price Efficiency
 Inventory Effects
 Itô, Kiyosi (1915–2008)
 Itô’s Formula
 Jarrow–Lando–Turnbull Model
 Jumpdiffusion Models
 Jump Processes

Volume 3
 Kelly Problem
 Kolmogorov, Andrei Nikolaevich
 Kou Model
 Kyle Model
 Large Deviations
 Large Pool Approximations
 Lattice Methods for Pathdependent Options
 Leveraged Supersenior Tranche
 LIBOR Market Model
 LIBOR Market Models: Simulation
 LIBOR Rate
 Life Insurance
 Limit Order Markets
 Liquidity
 Liquidity Premium
 Loan Valuation
 Local Correlation Model
 Local Times
 Local Volatility Model
 Lognormal Mixture Diffusion Model
 Long Range Dependence
 LongTerm Capital Management
 Lookback Options
 Lévy Copulas
 Lévy Processes
 Managed CDO
 Mandelbrot, Benoit
 Margrabe Formula
 Market Microstructure Effects
 Market Risk
 Market Transparency
 Markov Functional Models
 Markov Processes
 Markovian Term Structure Models
 Markowitz, Harry
 Martingale Representation Theorem
 Martingales
 Mean–Variance Hedging
 Measurements Errors
 Merton Problem
 Merton, Robert C.
 Method of Lines
 Minimal Entropy Martingale Measure
 Minimal Martingale Measure
 Mixed Data Sampling
 Mixture of Distribution Hypothesis
 Model Calibration
 Model Validation
 Modeling Correlation of Structured Instruments in a Portfolio Setting
 Models
 Modern Portfolio Theory
 Modigliani, Franco
 Modigliani–Miller Theorem
 Moment Explosions
 Monotone Schemes
 Monte Carlo Greeks
 Monte Carlo Simulation
 Monte Carlo Simulation for Stochastic Differential Equations
 Multifractals
 Multigrid Methods
 Multiname Reduced Form Models
 Multivariate Distributions
 Municipal Bonds
 Mutual Funds
 Nested Simulation
 Normal Inverse Gaussian Model
 Oil Market
 Operational Risk
 Optimization Methods
 Option Pricing: General Principles
 Option Pricing Theory: Historical Perspectives
 Options: Basic Definitions
 Order Flow
 Order Types
 Ornstein–Uhlenbeck Processes
 Parisian Option
 Partial Differential Equations
 Partial Integrodifferential Equations (PIDEs)
 Passport Options
 Performance Measures
 Phasetype Distribution
 Point Processes
 Poisson Process
 Portfolio Credit Risk: Statistical Methods
 Predictability of Asset Prices
 Price Impact
 Pricing Formulae for Foreign Exchange Options
 Pricing Kernels
 Probability of Informed Trading
 Pseudorandom Number Generators
 Put–Call Parity
 Quadratic Gaussian Models
 Quadrature Methods
 Quantization Methods
 Quanto Options
 QuasiMonte Carlo Methods

Volume 4
 Random Factor Loading Model (for Portfolio Credit)
 Random Matrix Theory
 Rareevent Simulation
 Rating Transition Matrices
 Real Options
 Realized Volatility and Multipower Variation
 Realized Volatility Options
 Recovery Rate
 Recovery Swap
 Recursive Preferences
 Reduced Form Credit Risk Models
 Regimeswitching Models
 Regulatory Capital
 Reinsurance
 Riskadjusted Return on Capital (RAROC)
 Risk Aversion
 Risk Exposures
 Risk Management: Historical Perspectives
 Risk Measures: Statistical Estimation
 Risk Premia
 Riskneutral Pricing
 Risk–Return Analysis
 Risksensitive Asset Management
 Robust Portfolio Optimization
 Roll Model
 Ross, Stephen
 Rubinstein, Edward Mark
 Ruin Models with Investment Income
 Ruin Theory
 SABR Model
 Saddlepoint Approximation
 Samuelson, Paul A.
 Second Fundamental Theorem of Asset Pricing
 Securitization
 Semimartingale
 Sensitivity Computations: Integration by Parts
 Sharpe Ratio
 Sharpe, William F.
 Simulation of Squareroot Processes
 Simulationbased Estimation
 Skorokhod Embedding
 Solvency
 Sparse Grids
 Specialpurpose Vehicle (SPV)
 Specialist Markets
 Spectral Measures of Risk
 Squared Bessel Processes
 Static Hedging
 Stochastic Control
 Stochastic Control in Insurance
 Stochastic Differential Equations with Jumps: Simulation
 Stochastic Differential Equations: Scenario Simulation
 Stochastic Discount Factors
 Stochastic Exponential
 Stochastic Integrals
 Stochastic Mesh Method
 Stochastic Taylor Expansions
 Stochastic Volatility Interest Rate Models
 Stochastic Volatility Models
 Stochastic Volatility Models: Extremal Behavior
 Stochastic Volatility Models: Foreign Exchange
 Stock Pinning
 Stress Testing
 Structural Default Risk Models
 Structured Finance Rating Methodologies
 Style Analysis
 Stylized Properties of Asset Returns
 Superhedging
 Swap Market Models
 Swaps
 Swing Options
 Tempered Stable Process
 Term Structure Models
 Thorp, Edward
 Tikhonov Regularization
 Time Change
 Timechanged Lévy Process
 Total Return Swap
 Transaction Costs
 Tree Methods
 Treynor, Lawrence Jack
 Trigger Swaps
 Uncertain Volatility Model
 Universal Portfolios
 Utility Function
 Utility Indifference Valuation
 Utility Theory: Historical Perspectives
 ValueatRisk
 Vanna–Volga Pricing
 Variancegamma Model
 Variance Reduction
 Variance Swap
 Volatility
 Volatility Index Options
 Volatility Swaps
 Volumeweighted Average Price (VWAP)
 Wavelet Galerkin Method
 Weather Derivatives
 Weighted Monte Carlo
 Weighted Variance Swap
 Wiener–Hopf Decomposition
 Yield Curve Construction
Product information
 Title: Encyclopedia of Quantitative Finance, IV Volume Set
 Author(s):
 Release date: April 2010
 Publisher(s): Wiley
 ISBN: 9780470057568
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