Enterprise Analytics

This book is the first book to cover both the theory and practice of quantitative modelling, looking at these aspects in the overall context of the faster response and tighter integration which is required in today's world of straight-through processing (STP) and immediate pricing. It provides a framework through which optimum product turnaround and integration can be achieved. It is not concerned solely with models or implementation, but will assess the lifetime of the whole deal, from query, through pricing, and finally deal management. The deals will be analysed, split into their component parts, and the valuation of these generic components explained. The reader will be provided with generic framework through which any deal under any model can be valued quickly and efficiently. The book will provide a rigorous mathematical foundation for all the theories and process described.

Although the book will concentrate on interest rate derivatives, providing reference implementations of various interest rate models in order to illustrate the framework, the underlying theories will enable the practitioner to expand this platform across asset classes. It is especially useful for multi-asset products.