Introduction to Quantitative Methods for Financial Markets

DOI10.1007/978-3-0348-0519-3MaRDI QIDQ2904343zbMATH OpenOpenAlexFDO

Authors Andreas Binder, Volkmar Lautscham, Hansjörg Albrecher, Philipp A. Mayer

Publication date 13 August 2012

Published in Compact Textbooks in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0519-3

zbMATH Keywords

binomial treesBlack-ScholesCAPMcredit riskexoticsHull-Whitenumerical methodsvanilla options

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(13)

• Current topics in quantitative finance. A selection of revised papers of the 21st Euro Working Group on financial modelling meeting, Venice, Italy, October 29--31, 1997
• Model order reduction for the simulation of parametric interest rate models in financial risk analysis
• Error analysis of a model order reduction framework for financial risk analysis
• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
• A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
• Derivatives: the tools that changed finance.
• The analytical finance package
• Financial Mathematics, Derivatives and Structured Products
• Structured finance: the object oriented approach. With CD-ROM
• Mathematical Finance
• The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools
• Reviews in modern quantitative finance
• Risk quantification using Rayleigh-tail modeling framework: a theoretical study and numerical simulations

Describes a project that uses

Uses Software

• UnRisk
• Mathematica

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