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© 2013

Introduction to Quantitative Methods for Financial Markets

Textbook

Part of the Compact Textbooks in Mathematics book series (CTM)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 1-14
  3. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 15-26
  4. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 27-35
  5. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 37-45
  6. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 47-54
  7. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 55-62
  8. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 63-75
  9. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 77-89
  10. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 91-102
  11. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 103-115
  12. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 117-131
  13. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 133-141
  14. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 143-153
  15. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 155-169
  16. Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer
    Pages 171-183
  17. Back Matter
    Pages 185-191

About this book

Introduction

Swaps, futures, options, structured instruments - a wide range
of derivative products is traded in today's financial markets.
Analyzing, pricing and managing such products often requires
fairly sophisticated quantitative tools and methods. This book
serves as an introduction to financial mathematics with special
emphasis on aspects relevant in practice. In addition to numerous
illustrative examples, algorithmic implementations are demonstrated
using "Mathematica" and the software package "UnRisk" (available
for both students and teachers). The content is organized in 15
chapters that can be treated as independent modules.

In particular, the exposition is tailored for classroom use in a
Bachelor or Master program course, as well as for practitioners
who wish to further strengthen their quantitative background.

Keywords

Derivative Pricing: Models and Algorithms Financial Mathematics Numerical Methods in Finance Portfolio Theory Quantitative Finance Risk Management

Authors and affiliations

  1. 1., Department of Actuarial ScienceUniversity of LausanneLausanneSwitzerland
  2. 2.Kompetenzzentrum IndustriemathematikMathconsult GmbHLinzAustria
  3. 3., Department of Actuarial ScienceUniversity of LausanneLausanneSwitzerland
  4. 4., Department of MathematicsTU GrazGrazAustria

About the authors

Hansjoerg Albrecher is Professor of Actuarial Science at the Faculty of Business and Economics, University of Lausanne, as well as a Faculty Member of the Swiss Finance Institute. Previous affiliations include the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, the University of Linz, the University of Aarhus, K.U. Leuven and Graz University of Technology. The author has ample experience in connecting the academic world with practitioners' views and problems, and has been advising banks and insurance companies.

Andreas Binder is CEO of MathConsult GmbH and head of MathConsult's computational finance group, who have been developing the UnRisk® software suite for valuation and risk management of financial instruments. He is an experienced adviser of banks, auditors, regulators and capital management firms.

Volkmar Lautscham has graduated in Technical Mathematics and Financial/Industrial Management from Graz University of Technology and Karl-Franzens University, respectively, with longer academic stays abroad in Sheffield, London and Stockholm. From 2006 to 2009, he was working for a major investment bank in London focusing on credit underwriting/structuring and real estate. The author currently holds a position at the University of Lausanne, where he pursues a PhD degree and teaches within the MSc Actuarial Science programme.

Philipp Mayer obtained his PhD in financial mathematics from Graz University of Technology. He then held amongst others a post-doc position at the Radon Institute of the Austrian Academy of Sciences in Linz, before returning to Graz as an assistant professor, where he carried out research in financial mathematics and taught both bachelor and master level courses. In 2010 he joined the Financial Markets department of a major financial institution in Brussels, where he is responsible for modeling equity, commodity and hybrid instruments.

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

From the reviews:

“The aim of this book is twofold. Firstly to equip the reader with the fundamental mathematical skills associated with modern finance and secondly to relate these skills to practical outcomes. … It is written as an introductory text for senior undergraduates or early graduate students with a reasonable background in mathematics. … For the interested reader references are provided if they wish to further enrich their knowledge. Also, at the end of each chapter a number of beneficial exercises are provided.” (John O’Hara, zbMATH, Vol. 1273, 2013)