Analytical Finance: Volume II

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author's many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application.

Coverage includes:

Pricing via Arbitrage. - The Central Limit Theorem. - The Binomial model. - More on Binomial models. - Finite difference methods. - Value-at-Risk VaR. - Introduction to probability theory. - Stochastic integration. - Partial parabolic differential equations and Feynman-Ka . - The Black-Scholes-Merton model. - American versus European options. - Analytical pricing formulas for American options. - Poisson processes and jump diffusion. - Diffusion models in general. - Hedging. - Exotic Options. - Volatility. - Something about weather derivatives. - A Practical guide to pricing. - Pricing using deflators. - Securities with dividends. - Some Fixed-Income securities and Black-Scholes.