Risk Management and Analysis, New Markets and Products / Edition 1

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"In what started as a second edition of the well received Handbookof Risk Management and Analysis, Carol Alexander has taken up thechallenge of the increasing complexity of today's markets byselecting additional material to cover new aspects of riskmodelling and new products, hence the present two volume edition.As before, the authors are well known not only for their mastery ofthe subject matter but also for their expository skills. Soundtheories and tried methods are explained; new markets and productsare clearly described. This is essential reading for the growingcommunity of quantitatively-minded risk managers." Dr JacquesPĆ©zier, September 1998

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Editorial Reviews

From the Publisher
"In what started as a second edition of the well received Handbook of Risk Management and Analysis, Carol Alexander has taken up the challenge of the increasing complexity of today's markets by selecting additional material to cover new aspects of risk modelling and new products, hence the present two volume edition. As before, the authors are well known not only for their expository skills. Sound theories and tried and tested methods are explained; new markets and products are clearly described. This is essential reading for the growing community of quantitatively-minded risk managers.", Dr Jacques Pezier, September 1998, , #
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Product Details

Meet the Author

Carol Alexander obtained her PhD in Algebraic Number Theory, then worked at the Gemente Universiteit in Amsterdam and at UBS Phillips and Drew in London before joining the Mathematics Faculty of the University of Sussex in 1985. She holds a BSc in Mathematics with Experimental Psychology and an MSc in Econometrics and Mathematical Economics from the London School of Economics. Since 1990 Dr Alexander has been consulting, training, speaking at conferences, writing books and articles, and developing software in the areas of risk management and investment analysis. In 1996 she became the academic director of Algorithmics Inc (part-time) and in 1998 she eventually left the academic world to join Nikko Global Holdings as Director and Head of Market Risk Modelling. However, she retains a visiting fellowship at the University of Sussex. She has developed a number of computer programs and software packages for Risk and Investment analysis based on time series techniques. One of these was the winner of the first International Non-Linear Financial Forecasting Competition in 1997. Another used the concept of cointegration to build long-term index tracking tools for fund management, and long-short strategies for portfolio hedging. A third software module is based on her original research, using orthogonal factors to produce large GARCH covariance matrices for factor models.

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Table of Contents

List of Contributors

About the Contributors



Emerging Markets I, Michael J.Howell

Emerging Markets II, Mark Fox and Ian King

The Origins of Risk-Neutral Pricing and the Black-Scholes Formula,L.C.G. Rogers

Equity Derivatives, Andrew Street

Interest Rate Option Models: A Critical Survey, RiccardoRebonato

Exotic Options I, Edmond Levy

Exotic Options II, Bryan Thomas

Captions and Swaptions, Vincent Lacoste

Trading Volatility, M. Desmond Fitzgerald

Credit Derivatives, Blythe Masters

Glossary Endnotes/References


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