Despite several delays (and sleepless nights with big red eyes) I am finally going through last proof reading. The book should be out in end of April. (approx 370 pages)
“Models on Models” has multiple implications. First of all models are only models and derivatives models are themselves based typically on more fundamental underlying models. “Models on Models” also points back at the many interesting interviews (16) with many of the world’s top modelers, quants, quant-traders, gamblers and philosophers from Wall Street and academia talking about their models, their insight in quantitative trading, risk, publishing etc.
• Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
• Nassim Taleb on Black Swans
• Stephen Ross on Arbitrage Pricing Theory
• Emanuel Derman the Wall Street Quant
• Edward Thorp on Gambling and Trading
• Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
• Aaron Brown on Gambling, Poker and Trading
• David Bates on Crash and Jumps
• Andrei Khrennikov on Negative Probabilities
• Elie Ayache on Option Trading and Modeling
• Peter Jaeckel on Monte Carlo Simulation
• Alan Lewis on Stochastic Volatility and Jumps
• Paul Wilmott on Paul Wilmott
• Knut Aase on Catastrophes and Financial Economics
• Eduardo Schwartz the Yoga Master of Quantitative Finance
• Bruno Dupire on Local and Stochastic Volatility Models
“Models on Models” also reflects upon early often partly forgotten and ignored research and knowledge. The current quantitative finance models are in almost every case extensions that are based on early wisdom and knowledge. Many of the techniques used in finance have their background in physics, engineering, probability theory and ancient wisdom. Many of these theories have developed over thousands of years. It is easy to forget this when working with valuing some fancy advanced derivatives instruments.
The book also contains a mid section in colors with many entertaining comic strips trying to illustrate some ideas in quantitative finance. Also look out for a few more surprises.
Derivatives Models on Models also contains some Excel sheets, VBA code and C++ code.
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My second edtion of Option Pricing Formulas goes to press this week, should be availiable in january. It has gone from 220 pages to 530+ pages.
It contains a CD with ready to use spreadsheets, source code (VBA), 3D graphics and much more.
|CD Example Bates Jump-Diffusion |
|CD Example Modified Corrado-Su Skewness Kurtosis model |
|CD Example two asset barrier |
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