Financial Models in Production

Othmane Kettani, Adil Reghai

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English

Springer Nature Switzerland AG
17 September 2020

Financial services industry; Probability & statistics; Applied mathematics; Stochastics

Series: SpringerBriefs in Finance

This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and control. Addressing some of the most important and cutting-edge issues, it describes how to build the necessary models in order to risk manage all the costs involved in options fabrication within the world of equity derivatives and hybrids. This is achieved by extending classical models and improving them in order to account for complex features.

The book is primarily aimed at market practitioners (traders, risk managers, risk control, top managers), as well as Masters students in Quantitative/Mathematical Finance. It will also be useful for instructors hoping to enrich their courses with practical examples. The prerequisites are basic stochastic calculus and a general knowledge of financial markets and financial derivatives.

By: Othmane Kettani, Adil Reghai
Imprint: Springer Nature Switzerland AG
Country of Publication: Switzerland
Edition: 1st ed. 2020
Dimensions: Height: 235mm, Width: 155mm,
Weight: 454g
ISBN: 9783030574956
ISBN 10: 3030574954
Series: SpringerBriefs in Finance
Pages: 61
Publication Date: 17 September 2020
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

1. Introduction.- 2. Black & Scholes Model.- 3. Local Volatility Model.- 4. Market Model P&L Explain.

Adil Reghai graduated from Ecole Polytechnique and Ecole des Mines de Paris. He worked as a quant for two decades developing models, algorithms and designing risk systems. He is now head of equity and commodity derivatives research quant, and a guest lecturer at SKEMA Business School. He is the author of two books. Othmane Kettani holds a Master of Research and a PhD in Finance from Paris I Panthéon-Sorbonne University, as well as a University Degree in Business Law from Paris II Panthéon-Assas University. He also graduated from Supélec and ESCP Europe. He works now as equity derivatives research quant at Natixis, and is a part-time lecturer at Paris I University (Master of Research Financial Markets and Risk Management, Course Option Pricing Theory).