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Interest Rate Modeling
Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale app
Quantitative Finance
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book al...
Stochastic Processes with Applications to Finance
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools
Stochastic Finance
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure mode...
Vat Photopolymerization Additive Manufacturing
Vat Photopolymerization 3D Printing: Processes, Materials, and Applications focuses on the cutting-edge vat polymerization additive manufacturing technology, as well as its associated materials and potential applications. The book is divided into four parts, with the first providing some foundational concepts about the technology as well as providing background on the different vat photopolymerization techniques, such as grayscale, volumetric, multiwavelength, two-photon and more. The basic chemistry involved in the vat photopolymerization process is covered here as well. Section 2 discusses vat photopolymerization 3D printing of functional materials, including plastics, hydrogels, stimuli-r...
Counterparty Risk and Funding
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s...
Nonlinear Option Pricing
New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods. Real-World Solutions for Quantitative Analysts The book helps quants develop both their analytical and numerical expertise. It foc...
Race and Form
This study presents a contextualized narratology of African American autobiography. The author compares eight autobiographies by seven African American writers from different periods (namely, Frederick Douglass, Booker T. Washington, W.E.B. Du Bois, Zora Neale Hurston, Richard Wright, Maya Angelou and Gwendolyn Brooks) and focuses on both the issue of race and such formal elements as temporal arrangement, narrative situation, narrative perspective, present tense, commentary, unreliability as well as audience. In addition to proposing a major framework for the narratology of autobiography in the opening chapter, the succeeding practical analyses draw on other approaches, such as stylistics and rhetoric, which complement narratology in the investigation of «how» a story is presented.
Monte Carlo Simulation with Applications to Finance
Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB coding exercises at the end of every chapter.
