Applied Quantitative Finance for Equity Derivatives: Fifth Edition - Image 1

£91.99

Majosta Applied Quantitative Finance for Equity Derivatives: Fifth Edition

Name: Applied Quantitative Finance for Equity Derivatives: Fifth Edition
Brand: Majosta
Price: 91.99 GBP
Availability: InStock

Differential Equations

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Description

In its fifth edition, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options advanced finite difference techniques: grid stretching, payoff smoothing, the solution of the linear complementary problem under negative rates, and explicit super-time-stepping schemes. issues of the Dupire local volatility model and possible fixes Non-parametric regression for American options in Monte-Carlo, randomized simulations the particle method for stochastic-local-volatility model with quasi-random numbers Numerical methods for the variance and volatility swaps, including some popular variations around those. quadratures for options under stochastic volatility models VIX options and dividend derivatives backward/forward representation of exotics. arbitrage-free representations for implied volatilities. The January 2025 fifth edition all in color brings the following minor updates: vanilla option pricing under the spot piecewise-lognormal model has been reworked and now include newer approximations. Asian option pricing also includes newer approximations. Time-dependent piecewise-constant stochastic volatility vanilla pricing, calibration and simulation. a small section on forward variance model calibration.

Product Specifications

Brand: Majosta
Format: hardcover
ASIN: B0FGHSLBJL
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Mathematical Analysis > Differential Equations
Domain: Amazon UK
Release Date: 27 June 2025
Listed Since: 03 July 2025

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Majosta Applied Quantitative Finance for Equity Derivatives: Fifth Edition

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