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.
Sample Chapter(s)
Chapter 1: Introduction (52 KB)
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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.
"Spadafora and Berman present the fundamentals of quantitative finance focusing on pricing and risk management problems from a practical and a methodological point of view. This book can be recommended both to graduate students approaching finance for the gentle introduction to the main subjects aided by the necessary mathematical tools, and to practitioners, which may value the convincing presentation of recent developments in the field."
Andrea Pallavicini
Head of Equity, FX and Commodity Models, Banca IMI, Italy
"The book covers many aspects of quantitative finance, spanning from the fundamental of stochastic calculus to their application of derivative pricing and risk modeling. As such, it is a very useful and complete overview for students and beginners in quantitative finance, providing insights of two aspects of quantitative finance that usually are treated separately, pricing and risk modeling. The book also includes a brief overview of some of the recent developments of the field, for instance the multi curve approach for Interest Rates derivatives pricing and the counterparty credit risk."
Terraneo Marcello
Quantitative Analyst, Unicredit, Italy
Luca Spadafora is Head of Quantitative Market Models Validation at Banco Popolare after about 10 years of experience as Quantitative Analyst in the main Italian banks. His experience extends from option pricing to market risk models, including the development of algo-trading strategies and counterparty credit risk estimation.
He is Adjoint Professor at Dept. of Mathematics, Physics and Natural Sciences, Università Cattolica del Sacro Cuore (Brescia, Italy) where he teaches Quantitative Finance.
His research areas range from risk management to option pricing with a particular interest in the volatility estimation. He has presented national and international conference papers and published journal articles on his main research areas.
Luca holds a Master Degree in Theoretical Physics at Università Cattolica del Sacro Cuore and a PhD in Econophysics at Università Statale di Milano (Italy).
Gennady Berman graduated Novosibirsk State University in 1970, Russia. He received his PhD in physics and mathematics at the Kirensky Institute of Physics, in 1974. He defended the Doctor Degree in Moscow, Russia, in 1989. He moved to the Theoretical Division at the Los Alamos National Laboratory (LANL) in 1992, where he worked as a scientist on the theory of quantum computation, quantum measurement, and quantum nonequilibrium processes, and data mining problems. In 2014, he joined the Biological Division at LANL and the New Mexico Consortium, where he works on the theory and modeling of nonequilibrium and stochastic processes. He has more than 250 publications in these fields, and is the author of seven books.
