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Quantitative Finance

Quantitative Finance

Ionut Florescu, Maria C. Mariani, Indranil SenGupta

ISBN: 978-1-118-63000-6

Nov 2018

512 pages

Select type: O-Book


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.