Book Announcement: Theoretical Foundations for Quantitative Finance
We are pleased to announce that Dr. Gennady P. Berman of the New Mexico Consortium and Los Alamos National Laboratory along with Dr. Luca Spadafora of the Università Cattolica del Sacro Cuore, Italy have published a new book titled, Theoretical Foundations for Quantitative Finance.
This book is for students and researchers in the fields of quantitative finance, risk management and stochastic analysis. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a focus on practical implications, favoring the intuition and the imagination. In addition, the new post-crisis paradigms, like multi-curves, x-value adjustments (xVA) and Counterparty Credit Risk are also discussed in a very simple framework. Finally, real world data and numerical simulations are compared in order to provide a reader with a simple and handy insight on the actual model performances.
The contents of this book include:
- Probability Theory
- Stochastic Processes
- Goals of the Pricing of Financial Derivatives
- The Replica Approach
- The Risk-Neutral Pricing Approach
- Black–Scholes Model and Generalizations
- Heston Model
- Risk Modelling
- New Post-Crisis Paradigms: CVA
- Multi-Curve and Counterparty Credit Risk
To order a copy or read more click here.