Theoretical Foundations for Quantitative Finance

This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a deep 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.

Contents:

• Introduction
• All the Financial Math You Need to Survive with Interesting Applications
• The Pricing of Financial Derivatives — The Replica Approach
• Risk-Neutral Pricing
• The Black and Scholes Framework and Its Extension
• Risk Modeling
• The New Post-Crisis Paradigms

Readership: Students and researchers in the fields of quantitative finance, risk management and stochastic analysis.
Key Features:

• Good balance between theoretical aspects and practical problems
• New post-crisis paradigms (multi-curve, x-Value Adjustments, Counterparty Credit Risk) are introduced and discussed in a very simple way
• Actual model performances are analyzed comparing real world data and numerical simulations