Statements (107)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:academic
|
| gptkbp:alsoKnownAs |
quantitative finance
|
| gptkbp:appliesTo |
option pricing
risk management asset pricing portfolio theory derivatives pricing |
| gptkbp:hasConcept |
gptkb:martingale
gptkb:efficient_market_hypothesis gptkb:Monte_Carlo_simulation gptkb:stochastic_process gptkb:quantitative_analyst gptkb:credit_default_swaps gptkb:Sharpe_ratio gptkb:Heath-Jarrow-Morton_framework gptkb:Hull-White_model gptkb:Basel_Accords gptkb:Lévy_processes gptkb:Cox-Ingersoll-Ross_model gptkb:Kelly_criterion gptkb:VaR gptkb:Vasicek_model gptkb:option_Greeks Brownian motion bonds stocks extreme value theory high-frequency trading statistical arbitrage derivatives financial modeling finite difference methods securities asset-backed securities market microstructure option pricing theory mortgage-backed securities algorithmic trading forwards replication model validation systemic risk structured products futures utility theory scenario analysis stress testing swaps credit risk hedging risk-neutral measure stochastic volatility models GARCH models market risk liquidity risk volatility collateralized debt obligations credit derivatives yield curve counterparty risk backtesting Ito calculus coherent risk measures copulas default risk exotic options expected shortfall exposure at default fat tails implied volatility interest rate derivatives interest rate models jump diffusion models local volatility loss given default mean-variance optimization model risk no-arbitrage principle pricing kernel probability of default quantitative risk management regulatory capital tail risk term structure term structure models value at risk |
| gptkbp:hasModel |
gptkb:Black-Scholes_model
gptkb:Arbitrage_Pricing_Theory gptkb:CAPM Binomial options pricing model |
| https://www.w3.org/2000/01/rdf-schema#label |
Mathematical Finance
|
| gptkbp:relatedTo |
gptkb:computational_finance
actuarial science econometrics financial engineering financial mathematics |
| gptkbp:studies |
financial markets
financial instruments |
| gptkbp:uses |
gptkb:mathematics
gptkb:probability_theory gptkb:stochastic_process partial differential equations statistics numerical methods |
| gptkbp:bfsParent |
gptkb:Darrell_Duffie
gptkb:Mathematical_Institute,_University_of_Oxford |
| gptkbp:bfsLayer |
6
|