SciComp SLV Calibrator

2nd Edition, Quantitative Finance and Risk Management, a Physicist's Approach

The second edition was sent to the publisher. It will be out early next year. The big addition is a long chapter on Climate Change Risk Management.

Here is an excerpt from the book jacket:

This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; “Smart Monte Carlo” and American Monte Carlo; Trend Risk — time scales and risk, the Macro–Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations — new techniques; Psychology and option models.

Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management — traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, a function toolkit; risk lab — the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and “Life as a Quant” — communication issues, sociology, stories, and advice.