Book Description
Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on the practical implementation and theoretical concepts. This concept offers theoreticians insight into the applicability of the methodology and, vice versa, practitioners access to new methods for their applications.
The e-book design of the text links theory and computational tools in an innovative way. All “quantlets” for the calculation of given examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web site www.i-xplore.de using the licence and registration number at the back co

Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return.
The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling.

Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk
In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets.

Volume 3: Advanced Topics; Numerical Methods and Programs.
In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved.

Throughout the volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book—in cartoon form, readers will be relieved to hear—to personally highlight and explain the key sections and issues discussed.
In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved.

Key chapters in this volume are

* Defects in the Black-Scholes Model
* Overview of Volatility Modeling
* Volatility Smiles and Surfaces
* Stochastic Volatility
* Uncertain Parameters
* Empirical Analysis of Volatility
* Stochastic Volatility and Mean-variance Analysis
* Volatility Case Study: The Cliquet Option
* Crash Modeling
* Static Hedging
* Interest-rate Modeling Without Probabilities
* Modeling Inflation
* Energy Derivatives
* Real Options
* Life Settlements and Viaticals
* Finite-difference Methods for One-factor Models
* Monte Carlo Simulation and Related Methods
* Numerical Integration and Simulation Methods
* Finite-difference Programs
* Monte Carlo Programs

The author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables.

In addition to the practical orientation of the book the author himself also appears throughout the book â in cartoon form, readers will be relieved to hear â to personally highlight and explain the key sections and issues discussed.