Introduction to Quantitative Methods for Financial Markets

Authors: Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer



First volume of a new series

Self-contained and compact introduction to financial mathematics and quantitative modeling of financial markets

Covers a broad area, from a basic introduction to financial markets, products and concepts, via model development, up to the calibration of models to market data and implementation of pricing algorithms

Leads the reader from standard derivatives to quite advanced recent exotic products

Practical aspects and benefits of implementation techniques are discussed and illustrated using Mathematica and UnRisk (software available to readers)

Ready for classroom use or self-study

Provides many illustrative examples and exercises, some with solutions

Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative tools and methods. This book serves as an introduction to financial mathematics with special emphasis on aspects relevant in practice. In addition to numerous illustrative examples, algorithmic implementations are demonstrated using "Mathematica" and the software package "UnRisk" (available for both students and teachers). The content is organized in 15 chapters that can be treated as independent modules.

In particular, the exposition is tailored for classroom use in a Bachelor or Master program course, as well as for practitioners who wish to further strengthen their quantitative background.

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