The Art of Quantitative Finance Vol.2: Volatilities, Stochastic Analysis and Valuation Tools

by Gerhard Larcher

Overview

This textbook provides the necessary techniques from financial mathematics and shastic analysis for the valuation of more complex financial products and strategies. The author discusses how to make use of mathematical methods to analyse volatilities in capital markets. Furthermore, he illustrates how to apply and extend the Black-Scholes theory to several fields in finance. In the final section of the book, the author introduces the readers to the fundamentals of shastic analysis and presents examples of applications. This book builds on the previous volume of the author’s trilogy on quantitative finance. The aim of the second volume is to present and discuss more complex and advanced techniques of modern financial mathematics in a way that is intuitive and easy to follow. As in the previous volume, the author provides financial mathematicians with insights into practical requirements when applying financial mathematical techniques in the real world.

Product Details

ISBN-13:	9783031238697
Publisher:	Springer International Publishing
Publication date:	03/23/2023
Series:	Springer Texts in Business and Economics
Edition description:	1st ed. 2023
Pages:	353
Product dimensions:	6.10(w) x 9.25(h) x (d)

About the Author

Prof. Gerhard Larcher is full Professor for Financial Mathematics and Head of the Institute for Financial Mathematics and Applied Number Theory at the Johannes Kepler University Linz in Austria. He is the spokesperson of the project 'Quasi-Monte Carlo Methods: Theory and Applications', a special research program funded by the Austrian government.

Table of Contents

Volatilities.- Extensions of the Black-Scholes theory to other types of options (futures options, currency options, American options, path-dependent options, multi-asset options).- Fundamentals: shastic analysis and applications, interest rate dynamics, and basic principles of pricing interest rate derivatives