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A unique, authoritative, and comprehensive treatment of fixed income marketsFixed Income Trading and Risk Management: The Complete Guide delivers a comprehensive and innovative exposition of fixed income markets. Written by European Central Bank portfolio manager Alexander During, this book takes a practical view of how several different national fixed income markets operate in detail.The book presents common theoretical models but adds a lot of information on the actually observed behavior of real markets. You'll benefit from the book's:* Fulsome overview of money, credit, and monetary policy* Description of cash instruments, inflation-linked debt, and credit claims* Analysis of derivative instruments, standard trading strategies, and data analysis* In-depth focus on risk management in fixed income marketsPerfect for new and junior staff in financial institutions working in sales and trading, risk management, back office operations, and portfolio management positions, Fixed Income Trading and Risk Management also belongs on the bookshelves of research analysts and postgraduate students in finance, economics, or MBA programs.

Improve financial product control operations with this comprehensive reference Effective Product Control provides detailed "how-to" guidance for the product control function, serving as a control standards primary reference for both internal and external stakeholders.

Credit is essential in the modern world and creates wealth, provided it is used wisely. The Global Credit Crisis during 2008/2009 has shown that sound understanding of underlying credit risk is crucial. If credit freezes, almost every activity in the economy is affected.

Drive profit and manage risk with expert guidance on trade processing The Trade Lifecycle catalogues and details the various types of trades, including the inherent cashflows and risk exposures of each.

The complete and practical guide to one of the hottest topics in quantitative finance Deep learning, that is, the use of deep neural networks, is now one of the hottest topics amongst quantitative analysts. Deep Learning in Quantitative Finance provides a comprehensive treatment of deep learning and describes a wide range of applications in mainstream quantitative finance. Inside, you'll find over ten chapters which apply deep learning to multiple use cases across quantitative finance. You'll also gain access to a companion site containing a set of Jupyter notebooks, developed by the author, that use Python to illustrate the examples in the text. Readers will be able to work through these examples directly. This book is a complete resource on how deep learning is used in quantitative finance applications. It introduces the basics of neural networks, including feedforward networks, optimization, and training, before proceeding to cover more advanced topics. You'll also learn about the most important software frameworks. The book then proceeds to cover the very latest deep learning research in quantitative finance, including approximating derivative values, volatility models, credit curve mapping, generating realistic market data, and hedging. The book concludes with a look at the potential for quantum deep learning and the broader implications deep learning has for quantitative finance and quantitative analysts. Covers the basics of deep learning and neural networks, including feedforward networks, optimization and training, and regularization techniques Offers an understanding of more advanced topics like CNNs, RNNs, autoencoders, generative models including GANs and VAEs, and deep reinforcement learning Demonstrates deep learning application in quantitative finance through case studies and hands-on applications via the companion website Introduces the most important software frameworks for applying deep learning within finance This book is perfect for anyone engaged with quantitative finance who wants to get involved in a subject that is clearly going to be hugely influential for the future of finance.

The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with.

Clear, comprehensive guidance toward the global infrastructure investment market Infrastructure As An Asset Class is the leading infrastructure investment guide, with comprehensive coverage and in-depth expert insight.

A value management framework designed specifically for banking and insurance The Value Management Handbook is a comprehensive, practical reference written specifically for bank and insurance valuation and value management.

This work brings together various theories and models in operational risk, presenting them in the context of real-life case studies. It seeks to be both a sourcebook of operational risk techniques and a user manual on how to apply them.

Looks at the theory and practice of modern banking, and at the prospects for the future. This text is devoted to micro issues of banking, including competition, structure, performance, risk, and regulation.

There was a great momentum in the research into measures of financial risk. After many years of ad hoc and non consistent measures, the problem is finally well formulated and some useful and very user friendly solutions have been proposed.

Market players put their jobs on the line with every position they take. Any fixed income investor in the circumstance of being granted one wish would probably want to know what interest rates are going to do in the future. Economists and others have constructed models of interest rate behaviour, but no model works in all circumstances.

In an era of globalization, syndicated lending and consolidation within the banking industry, virtually all industries will have international dealings, and will therefore be exposed to consequential risks. This work provides an understanding of how to calculate, analyse, and manage such risks.

One of the few books on the subject, Country Risk Assessment combines the theoretical and practical tools for managing international country risk exposure. - Offers a comprehensive discussion of the specific mechanisms that apply to country risk assessment. - Discusses various techniques associated with global investment strategy.

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time.

Catastrophic risk stands as one of the most significant and challenging areas of corporate risk management. The onset of hurricane, earthquake, windstorm, terrorism, systemic financial dislocation, or "clash losses" can create billions of dollars of losses, financially damaging companies and regional/national economies.

Despite a profound lack of information, interest in fixed income investment is very high. Fund managers are looking to improve their knowledge and capabilities in this area to ensure they can measure the effects of their decisions have adequate risk control and hedging capabilities and keep up with their competitors. This work covers this topic.

There are certain risks associated with the conclusion of a securities transaction, but good training and a firm understanding of post-transaction operations can lessen that risk. This comprehensive guide is dedicated to serving the training needs of the operational staff responsible for these settlements.

Options are a financial instrument that allows the purchaser of the option to either buy or sell shares or commodities on a specified date in the future, but there is no obligation to do so (hence, option). The purchaser must pay a premium to the seller but should the market go against the purchaser there is no requirement to exercise the right.

Includes a chapter on options risk management, as well as information on parametric risk, non-parametric measurements and liquidity risks. This title also includes practical information to help with specific calculations, and various examples including Q&A's and case studies. It is accompanied by a CD-ROM.

This text takes a practical approach to the principal structured products which have been appearing in financial markets. It provides answers to questions which could arise in investment dealings and advice as to how to maximize the potential for profitability.

A comprehensive text on financial market operations management Financial Market Operations Management offers anyone involved with administering, maintaining, and improving the IT systems within financial institutions a comprehensive text that covers all the essential information for managing operations.

A practioner's guide to quantitative reverse stress testing, featuring advanced solutions for better management of financial risksWhether you manage a portfolio, a business unit or a bank, you must ensure that a sudden shock in the markets won't drive you out of business because of a large loss, a jump in capital utilisation or an increase in funding consumption . In financial risk management, reverse stress testing is the attempt to identify worst case scenarios causing maximum financial loss. Traditional stress testing methods have failed to avert the last financial crisis or highlight financial distress. . Every so often some regulators and risk managers specify stress scenarios with simplifications that create a false sense of safety. To avoid a combinatorial explosion, a number of arbitrary choices are usually made in relation to the level of each shock, their combination and the time horizon. These assumptions, although necessary, limit the effectiveness of this technique.Quantitative Reverse Stress Testing: Hunting for the Black Swan offers a more natural approach to identifying the realistic scenario provoking the largest losses. It also provides a means to understand the impact of extreme events and how to mitigate them while introducing technological advances and the adapted mathematical tools that have made it possible to solve this type of quantitative finance problems. You'll see how mitigation strategies can be more accurate and better targeted, reducing risk, cost of funding and regulatory capital.With this book, you'll have access to a comprehensive guide to crucial aspects of reverse stress testing.* Get an introduction to a rigorous mathematical framework to quantitative reverse stress testing* Consider different heuristics, one of them based on annealing, to solve theoptimisation problem* Review solution implementation, system infrastructure design and integration into the financial risk management of a firm* Read related case studies from a variety of industriesIf it's time to move your approach to reverse stress testing forward, this guide offers real solutions tooptimisation and cost issues. Get a guide that supports a more informed approach to testing and financial risk management as it helps to protect vital business interests.

A comprehensive reference guide to key commodity derivative markets Commodity Derivatives provides detailed coverage of a variety of commodity markets and their derivatives for those invested on both the buy and sell sides.

This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines.

The comprehensive guide to working more effectively within the multi-commodity market. The Handbook of Multi-Commodity Markets and Products is the definitive desktop reference for traders, structurers, and risk managers who wish to broaden their knowledge base.

A practical problem solving reference for commodity and Forex derivatives Problems and Solutions in Mathematical Finance provides an innovative reference for quantitative finance students and practitioners.

A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategiesMarket Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies.The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective.What type of book is Market Momentum and how does it serve a range of readers' interests and needs?* A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors* Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills* Useful resource for financial practitioners who want to implement momentum trading strategies* Reference book providing behavioral and statistical explanations for market momentumDue to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

The complete guide to the principles and practice of risk quantification for business applications. The assessment and quantification of risk provide an indispensable part of robust decision-making; to be effective, many professionals need a firm grasp of both the fundamental concepts and of the tools of the trade.

The book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjective way, relying upon more than twenty years of experience as a market practitioner. The book only requires the reader to be knowledgeable in the basics of algebra and statistics.The Mathematical formulae are only fully proven when the proof brings some useful insight. These formulae are translated from algebra into plain English to aid understanding as the vast majority of practitioners involved in the financial markets are not required to compute or calculate prices or sensitivities themselves as they have access to data providers. Thus, the intention of this book is for the practitioner to gain a deeper understanding of these calculations, both for a safety reason - it is better to understand what is behind the data we manipulate - and secondly being able to appreciate the magnitude of the prices we are confronted with and being able to draft a rough calculation, aside of the market data.The author has avoided excessive formalism where possible. Formalism is securing the outputs of research, but may, in other circumstances, burden the understanding by non-mathematicians; an example of this case is in the chapter dedicated to the basis of stochastic calculus.The book is divided into two parts:- First, the deterministic world, starting from the yield curve building and related calculations (spot rates, forward rates, discrete versus continuous compounding, etc.), and continuing with spot instruments valuation (short term rates, bonds, currencies and stocks) and forward instruments valuation (forward forex, FRAs and variants, swaps & futures);- Second, the probabilistic world, starting with the basis of stochastic calculus and the alternative approach of ARMA to GARCH, and continuing with derivative pricing: options, second generation options, volatility, credit derivatives;- This second part is completed by a chapter dedicated to market performance & risk measures, and a chapter widening the scope of quantitative models beyond the Gaussian hypothesis and evidencing the potential troubles linked to derivative pricing models.