Titlebook: Quantitative Finance; Back to Basic Princi Adil Reghai Book 2015 Palgrave Macmillan, a division of Macmillan Publishers Limited 2015 algori

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Mono Underlying Risk Exploration,risk (capturing elements of its dynamic). Not all products need full exposure to the smile and its dynamic. This question is answered via a progressive approach in which we start by exploring the gamma map. We also compute the smile toxicity index to know if a model extension is necessary. In the mo

mechanism

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General Conclusion,nes statistical invariants with classical pricing models. We also show how martingale models, usually designed for pricing, can be used to assess the quality of an investment strategy. We define measurable quantities, that we call toxicity indices, which allow us to rank financial products and investment strategies.

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孤独无助

Discounting and General Value Adjustment Techniques,ollow the CVA (credit value adjustment — a measure of counterparty risk). How much should I adjust my price to reflect the possibility of my counterparty defaulting? There is also a symmetrical notion that is the DVA (debit value adjustment) which constitutes the answer to the damage my own default can create for my counterparties.

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Mono Underlying Risk Exploration,mixing weight, the right blending factor issued from a statistical study of the volatility dynamic in the market. We developed a large set of models and approaches for which we have full access, analytically or semianalytically, to their properties.