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The Art of Quantitative Finance Vol.2

Volatilities, Stochastic Analysis and Valuation Tools

  • Textbook
  • © 2023

Overview

Authors:
  1. Gerhard Larcher

    1. Institute for Financial Mathematics and Applied Number Theory, Johannes Kepler University of Linz, Linz, Austria

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  • Illustrates mathematical methods to analyse volatilities
  • Introduces the reader to stochastic analysis in the context of valuation
  • Presents extended applications of the Black-Scholes theory

Part of the book series: Springer Texts in Business and Economics (STBE)

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Table of contents (3 chapters)

  1. Front Matter

    Pages i-xii
    Download chapter PDF

  2. Volatilities

    • Gerhard Larcher
    Pages 1-117

  3. Extensions of the Black-Scholes Theory to Other Types of Options (Futures Options, Currency Options, American Options, Path-Dependent Options, Multi-asset Options)

    • Gerhard Larcher
    Pages 119-250

  4. Fundamentals: Stochastic Analysis and Applications, Interest Rate Dynamics, and Basic Principles of Pricing Interest Rate Derivatives

    • Gerhard Larcher
    Pages 251-353
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Keywords

About this book

This textbook provides the necessary techniques from financial mathematics and stochastic analysis for the valuation of more complex financial products and strategies. The author discusses how to make use of mathematical methods to analyse volatilities in capital markets. Furthermore, he illustrates how to apply and extend the Black-Scholes theory to several fields in finance. In the final section of the book, the author introduces the readers to the fundamentals of stochastic analysis and presents examples of applications. This book builds on the previous volume of the author’s trilogy on quantitative finance. The aim of the second volume is to present and discuss more complex and advanced techniques of modern financial mathematics in a way that is intuitive and easy to follow. As in the previous volume, the author provides financial mathematicians with insights into practical requirements when applying financial mathematical techniques in the real world.

 

Reviews

“The author’s presentation is clear and accessible, focusing more on the intuition than on mathematical abstraction or generality.” (Claudio Fontana, zbMATH 1527.91001, 2024)

Authors and Affiliations

  • Institute for Financial Mathematics and Applied Number Theory, Johannes Kepler University of Linz, Linz, Austria

    Gerhard Larcher

About the author

Prof. Gerhard Larcher is full Professor for Financial Mathematics and Head of the Institute for Financial Mathematics and Applied Number Theory at the Johannes Kepler University Linz in Austria. He is the spokesperson of the project 'Quasi-Monte Carlo Methods: Theory and Applications', a special research program funded by the Austrian government.

Bibliographic Information

  • Book Title: The Art of Quantitative Finance Vol.2

  • Book Subtitle: Volatilities, Stochastic Analysis and Valuation Tools

  • Authors: Gerhard Larcher

  • Series Title: Springer Texts in Business and Economics

  • DOI: https://doi.org/10.1007/978-3-031-23870-3

  • Publisher: Springer Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2023

  • Hardcover ISBN: 978-3-031-23869-7Published: 24 March 2023

  • eBook ISBN: 978-3-031-23870-3Published: 23 March 2023

  • Series ISSN: 2192-4333

  • Series E-ISSN: 2192-4341

  • Edition Number: 1

  • Number of Pages: XII, 353

  • Number of Illustrations: 5 b/w illustrations, 183 illustrations in colour

  • Topics: Financial Engineering, Capital Markets, Applications of Mathematics, Risk Management

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