Financial Geometry: Geometric Approach to Hedging and Risk Management (Professional Finance Series) [Paperback]

Alvin Kuruc (Author)

Book Description

Publication Date: December 10, 2003 | ISBN-10: 0273661965 | ISBN-13: 978-0273661962

The past thirty years have seen explosive growth in the use of financial deritivatives along with the development of an elegant mathematical theory for their valuation. The theory, based on stochastic calculus, provides a conceptual framework for valuation as well as efficient computational tools. As derivative markets have matured, much of the focus has shifted from the valuation of individual financial instruments to the problems of hedging and risk management of large financial portfolios. The challenge here is to understand the behaviour of a complex set of instruments that may depend on hundreds or thousands of underlying risk factors. "Financial Geometry" will help you to do so. Mathematical yet accessible, "Financial Geometry" provides intuitive geometric metaphors and powerful computational machinery for describing the complex risks of the modern financial world. Topics covered include: *marking to market *valuation techniques and models *risk-factor definition *sensitivity and scenario analysis *interest rate calculations *hedge calculations *Value at Risk *risk-factor mapping *volatility curves and surfaces *time effects

Editorial Reviews

Review

'I applaud the author's use of differential geometry to integrate the disparate approaches to hedging and risk management. This approach is quite literally the shape of things to come!' "Dr. Peter Carr, Global Head of Quantitative Research, Bloomberg, and Director of the Master's Program in Mathematical Finance, Courant Institute, NYU" 'In "Financial Geometry," Kuruc provides a thoroughly consistent approach, within a clean and easily understandable formalism. He does this by relating the problem to the field of differential geometry, to which it is surprisingly well suited. Kuruc's writing style is exceptionally clear and accessible, even pedagogical. Many examples are treated, which make application of his approach to real-world problems straightforward.' "David Eliezer, Goldman Sachs" 'Although the underlying mathematics is quite sophisticated, the material is made accessible to a board audience. Despite its sophistication, this is an eminently practical book that will prove useful to anyone with an interest in financial derivatives or enterprise risk.' "James Lewis, Barclays Global Investors" 'Alvin Kuruc's book is unique in providing a unifying theoretical framework for the bewildering array of separate concepts and approaches currently applied in practice to the hedging and risk management of portfolios of financial instruments... with elegance and precision. The result is a charming and very readable work that is bound to have a significant impact on students of risk management - both researchers and practitioners.' "Professor Michael Dempster, Director, Centre for Financial Research; Professor of Finance and Professorial, Judge Institute of Management, University of Cambridge"

About the Author

Alvin Kuruc is a Director at Credit Suisse First Boston in London, while he looks after the core architecture for Derivatives IT globally. He was previously Managing Director, Risk Systems at NumeriX and Senior Vice President and Head of Financial Engineering at SunGard Trading and Risk Systems. He holds an SB in Interdisciplinary Science and a PhD in Pure Mathematics from the Massachusetts Institute of Technology and an MD from Yale Medical School.

Product Details

• Paperback: 256 pages
• Publisher: Financial Times Management (December 10, 2003)
• Language: English
• ISBN-10: 0273661965
• ISBN-13: 978-0273661962
• Product Dimensions: 9.6 x 7.4 x 1 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #2,447,579 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.