May 6th, 2011, 10:28 am
QuoteOriginally posted by: QuantOptionQuoteOriginally posted by: mjIf anyone has feature requests, can they make them here?Practical stuff. - Discussing models (their issues from practical point of view) that IBs are actually using, as opposed to multi-factor-jump-stochastic vol models that are nowhere in production. Practical model issues, evolution of forward vols and its impact on hedging, model risk, impact of different curves used to projection and discounting, CVA, etc ... discussion of REAL issues that quants need to address- More exercises with at least hints Looking forward to your book!I agree. There are lot of books in the market on models per se - extensively documented and any new models can be understood by these references. However, there is clearly lot of scope on covering practical problems focussing on complex derivatives pricing and risk management (including credit risks, funding spreads, "model risk").If you have luxury, then you can consider including few chapters on model risk alone (even it is purely your view). I have not see too much coverage on the practical side apart from 3 authors/quants.