Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volume affects forward smile, or the implications of mean reversion on forward volume.

Key considerations for modeling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets,...