Presents a multitude of topics relevant to the quantitative finance
community by combining the best of the theory with the usefulness of
applications
Written by accomplished teachers and researchers in the field, this book
presents quantitative finance theory through applications to specific
practical problems and comes with accompanying coding techniques in R
and MATLAB, and some generic pseudo-algorithms to modern finance. It
also offers over 300 examples and exercises that are appropriate for the
beginning student as well as the practitioner in the field.
The Quantitative Finance book is divided into four parts. Part One
begins by providing readers with the theoretical backdrop needed from
probability and stochastic processes. We also present some useful
finance concepts used throughout the book. In part two of the book we
present the classical Black-Scholes-Merton model in a uniquely
accessible and understandable way. Implied volatility as well as local
volatility surfaces are also discussed. Next, solutions to Partial
Differential Equations (PDE), wavelets and Fourier transforms are
presented. Several methodologies for pricing options namely, tree
methods, finite difference method and Monte Carlo simulation methods are
also discussed. We conclude this part with a discussion on stochastic
differential equations (SDE's). In the third part of this book, several
new and advanced models from current literature such as general Lvy
processes, nonlinear PDE's for stochastic volatility models in a
transaction fee market, PDE's in a jump-diffusion with stochastic
volatility models and factor and copulas models are discussed. In part
four of the book, we conclude with a solid presentation of the typical
topics in fixed income securities and derivatives. We discuss models for
pricing bonds market, marketable securities, credit default swaps (CDS)
and securitizations.
- Classroom-tested over a three-year period with the input of students
and experienced practitioners
- Emphasizes the volatility of financial analyses and interpretations
- Weaves theory with application throughout the book
- Utilizes R and MATLAB software programs
- Presents pseudo-algorithms for readers who do not have access to any
particular programming system
- Supplemented with extensive author-maintained web site that includes
helpful teaching hints, data sets, software programs, and additional
content
Quantitative Finance is an ideal textbook for upper-undergraduate and
beginning graduate students in statistics, financial engineering,
quantitative finance, and mathematical finance programs. It will also
appeal to practitioners in the same fields.