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Body of Knowledge
Financial Engineering for Investment

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Financial Engineering for Investment

About quantitative finance: P and Q
Executive summary
Valuation foundations
Points of interest and pitfalls
Fundamental axioms
Fundamental theorem of asset pricing
Risk-neutral pricing
Capital asset pricing model framework
Covariance principle
Completeness
Arbitrage pricing theory
Intertemporal consistency
Fundamental axioms
Valuation as evaluation
Intertemporal consistency
The "Checklist": executive summary
Risk drivers identification
Equities
Currencies
Fixed-income
Derivatives
Credit
Insurance
Operations
Strategies
Projection
One-step historical projection
Monte Carlo
Historical
Application to credit risk
Square-root rule and generalizations
Step 4. Projection - Historical
Step 4. Projection - Monte Carlo
Univariate analytical projection
Multivariate analytical projection
Efficiency: Lévy processes
Mean-reversion (continuous state)
Mean-reversion (discrete state)
Volatility clustering
Multivariate mean reversion
Pricing at the horizon
Exact repricing
Carry
Taylor approximations
Joint P&L distribution
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