This book discusses the interplay of stochastics (applied
probability theory) and numerical analysis in the field of
quantitative finance. The stochastic models, numerical valuation
techniques, computational aspects, financial products, and risk
management applications presented will enable readers to progress
in the challenging field of computational finance.When the behavior
of financial market participants changes, the corresponding
stochastic mathematical models describing the prices may also
change. Financial regulation may play a role in such changes too.
The book thus presents several models for stock prices, interest
rates as well as foreign-exchange rates, with increasing complexity
across the chapters. As is said in the industry, 'do not fall in
love with your favorite model.' The book covers equity models
before moving to short-rate and other interest rate models. We cast
these models for interest rate into the Heath-Jarrow-Morton
framework, show relations between the different models, and explain
a few interest rate products and their pricing.The chapters are
accompanied by exercises. Students can access solutions to selected
exercises, while complete solutions are made available to
instructors. The MATLAB and Python computer codes used for most
tables and figures in the book are made available for both print
and e-book users. This book will be useful for people working in
the financial industry, for those aiming to work there one day, and
for anyone interested in quantitative finance. The topics that are
discussed are relevant for MSc and PhD students, academic
researchers, and for quants in the financial industry.Supplementary
Material:Solutions Manual is available to instructors who adopt
this textbook for their courses. Please contact
[email protected].
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