QUANTITATIVE FINANCE AND RISK MANAGEMENT: A PHYSICIST'S APPROACH

Jan Dash was Director of Quantitative Analysis at Citigroup/Salomon Smith Barney, Fuji Capital Markets Corp, and Euro Brokers. He began his Wall Street career in 1987 as V.P. Manager at Merrill Lynch. He introduced path integrals for options, managed PhD quant groups, and worked in many areas in finance involving all the topics in this book. He has a PhD in physics from UC Berkeley, was Directeur de Recherche at the Centre de Physique Theorique CNRS Marseille, and published over 60 scientific papers.

• Quantitative Finance and Risk Management Topics: Simple and Exotic Derivatives, Market and Credit Risk, Optimized Stressed Correlation Matrices, Fat Tails, Stressed VAR, Model Development, Model Risk and Quality Assurance, Numerical Techniques, Deals and Portfolios, Systems (Buy/Build, Model Integration), Data Issues, Markets, Financial Products, Economic Capital - Case Studies in Corporate Finance and Options - "Life as a Quant": Management Issues, Communication, Sociology, Advice - Risk Lab: The Nuts and Bolts of Risk Management (Interest Rates, Equities, FX) - Research Topic: The Macro-Micro Model Combining Economics/Finance (Multi-Time-Scale, Multifactor, Quasi-Random Trends and Cycles, Mean-Reverting Gaussians, Gap/Jumps) - Feynman Path Integrals, Green Functions and Options