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Quantitative Finance

Hardcover

Pre-order

$135.00

Quantitative Finance

Maria C. Mariani, Ionut Florescu

ISBN: 978-1-118-62995-6 November 2019

Hardcover
Pre-order
$135.00
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Description

The book is complete with different coding techniques in R and MATLAB and generic pseudo-algorithms to modern finance. Starting with the theoretical backdrop needed from probability and stochastic processes and the description of financial instruments priced throughout the book, the classical Black-Scholes-Merton model is, then, presented in a uniquely accessible and understandable way. Implied volatility, local volatility surfaces, and general methods of inverting partial differential equations (PDE’s) are, then, discussed.

List of Figures xv

List of Tables xvii

Part I Stochastic Processes and Finance 1

1 Stochastic Processes 3

2 Basics of Finance 33

Part II Quantitative Finance in Practice 47

3 Some Models Used in Quantitative Finance 49

4 Solving Partial Differential Equations 83

5 Wavelets and Fourier Transforms 101

6 Tree Methods 121

7 Approximating PDEs 177

8 Approximating Stochastic Processes 203

9 Stochastic Differential Equations 245

Part III Advanced Models for Underlying Assets 287

10 Stochastic Volatility Models 289

12 General Lévy Processes 325

13 Generalized Lévy Processes, Long Range Correlations, and Memory Effects 337

14 Approximating General Derivative Prices 365

15 Solutions to Complex Models Arising in the Pricing of Financial Options 389

16 Factor and Copulas Models 403

Part IV Fixed Income Securities and Derivatives 413

17 Models for the Bond Market 415

18 Exchange Traded Funds (ETFs), Credit Default Swap (CDS), and Securitization 431

Bibliography 445

Index 000