Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:
Which trading issues do we tackle with stochastic volatility?
How do we design models and assess their relevance?
How do we tell which models are usable and when does calibration make sense?
This manual covers the practicalities of modeling local volatility, stochastic volatility,...
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issue...
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems inspired from the Almgren-Chriss approach and then demonstrates the use of that framework across a wide range of areas. The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the...
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems i...
If you know a little bit about financial mathematics but don't yet know a lot about programming, then C++ for Financial Mathematics is for you.
C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with...
If you know a little bit about financial mathematics but don't yet know a lot about programming, then C++ for Financial Mathematics is for...
This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.
This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provide...
