QUANTITATIVE FINANCE AND RISK MANAGEMENT
A Physicist's Approach
by Jan W Dash (Moore Capital Management, LLC)
Table of Contents (65k)
Errata and Additions (3rd Reprint, 2008) (30k)
About the Author 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 Théorique CNRS Marseille, and published over 60 scientific papers.
Written by a physicist with over 15 years of experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the “how to” and “what it's like” aspects not covered in textbooks or research papers. Both standard and new results are presented. A “Technical Index” indicates the mathematical level — from zero to PhD — for each chapter. The finance in each chapter is self-contained. Real-life comments on “life as a quant” are included.
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