Quantitative Finance

Author(s): Maria C. Mariani; Ionut Florescu
Series: Wiley Series in Statistics in Practice
Publisher: Wiley, Year: 2020
ISBN: 1118629957,9781118629956


Description:
The book is complete with different coding techniques in R and MATLAB and generic pseudo-algorithms to modern finance. Starting with the theoretical backdrop needed from probability and stochastic processes and the description of financial instruments priced throughout the book, the classical Black-Scholes-Merton model is, then, presented in a uniquely accessible and understandable way. Implied volatility, local volatility surfaces, and general methods of inverting partial differential equations (PDE's) are, then, discussed.