Quantitative Finance

  1. Quantitative Risk Management
    1. Market Risk Measurement
      1. Value at Risk
        1. Parametric Method
          1. Variance-Covariance Approach
            1. Model Assumptions
              1. Limitations
                1. Historical Simulation
                  1. Data Requirements
                    1. Backtesting Methods
                      1. Monte Carlo VaR
                        1. Scenario Generation
                          1. Model Validation
                          2. Expected Shortfall
                            1. Definition and Calculation
                              1. Conditional VaR
                                1. Comparison with VaR
                                  1. Coherent Risk Measures
                                  2. Stress Testing
                                    1. Historical Scenarios
                                      1. Hypothetical Scenarios
                                        1. Reverse Stress Testing
                                          1. Regulatory Requirements
                                        2. Credit Risk Modeling
                                          1. Structural Models
                                            1. Merton's Model
                                              1. Firm Value Process
                                                1. Default Probability Estimation
                                                  1. Model Extensions
                                                  2. Reduced-Form Models
                                                    1. Default Intensity Process
                                                      1. Hazard Rate Models
                                                        1. Market Data Calibration
                                                        2. Credit Derivatives
                                                          1. Credit Default Swaps
                                                            1. CDS Structure
                                                              1. CDS Pricing
                                                                1. Spread Interpretation
                                                                  1. Collateralized Debt Obligations
                                                                    1. Tranching Structure
                                                                      1. Waterfall Mechanics
                                                                        1. Risk Assessment
                                                                      2. Counterparty Credit Risk
                                                                        1. Credit Valuation Adjustment
                                                                          1. CVA Calculation
                                                                            1. CVA Interpretation
                                                                              1. Regulatory Capital
                                                                              2. Debit Valuation Adjustment
                                                                                1. DVA Impact on Pricing
                                                                                  1. Accounting Considerations
                                                                                  2. Funding Valuation Adjustment
                                                                                    1. Funding Costs
                                                                                      1. Pricing Adjustments
                                                                                        1. FVA Calculation

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                                                                                    5. Numerical Methods in Finance

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                                                                                    7. Algorithmic and High-Frequency Trading