Titlebook: Introduction to Quantitative Methods for Financial Markets; Hansjoerg Albrecher,Andreas Binder,Philipp Mayer Textbook 2013 Springer Basel

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The Black-Scholes Model,r, the binomial model often oversimplifies the real world, so that in practice one would aim to choose a model setup that better describes reality. In this chapter we will discuss a continuous-time model which is broadly considered today the classical model of mathematical finance.

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Interest Rate Models,w stochastic behavior (cf. .). While this often only plays a secondary role when dealing with stock derivatives, it is, of course, the core aspect when pricing interest rate derivatives. After a brief introduction to some of the most commonly traded interest rate products, this chapter will present

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,Calibrating Models – Inverse Problems, or to obtain a hedging strategy, the used parameters will greatly impact the results. While there is broad agreement of how to model many problems in physics (such as the thermal conductivity of copper at room temperature), financial markets are fundamentally different. Many market participants hav

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Portfolio Optimization,s. Hereby the investor . capital to different investments, such as low-risk low-expected return investments (e.g. high quality government bonds, bank accounts) or higher-risk higher-expected return investments (e.g. stocks, real estate, commodities). It is one of the core problems in finance to prov

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Interest, Coupons and Yields,ach of us has experience with paying or receiving .. If you wish to purchase goods today despite having insufficient funds, you can, for example, borrow money from a bank. Your desired purchases could include a house, a car or consumption goods, and the borrowing could be in the form of a current account overdraft or a ..

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European and American Options,We discussed in . that an option gives the buyer a particular right which can lead to financial upsides in the future, without including any obligations. Hence, there must be a positive price for obtaining this right, and we will now aim to determine this price.