This book empowers readers to model, design and implement a range of financial models for derivatives pricing and asset allocation. It provides practitioners with a complete financial modelling workflow, from model choice, deriving analytic choice and/or approximate prices for simple options and calibration, to market data and exotic options pricing.
Equity/Equity-Interest Rate Hybrid models, Interest Rate models and Asset Allocation are used as examples showing specific models with analysis of their features. The author then goes on to show how to price simple options and how to calibrate the models to real life market data and finally they discuss the pricing of exotic options. At the end of these sections the reader will be able to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation.