""I recommend Erik Schlogl's new book to all those interested in model implementation. From quasi-random sequences to HJM to the Excel interface, with full C++ code, there is something here for everyone.""-Jim Gatheral, Presidential Professor, Baruch College, CUNY""If 25 years ago I had started...

"I liked this book because it gave me a good review of the mathematics of option pricing. The chapters are well written and were clear to me."-INFORMS Journal on Computing, 25(1), 2013"… is suitable for the practitioner in search of a hands-on approach to the topic, as well as the...

chapter 1 Elements of Finance -- chapter 2 Binomial Models -- chapter 3 Diffusion Models -- chapter 4 Interest Rate Contracts -- chapter 5 Barrier Options -- chapter 6 Lookback Options -- chapter 7 American Options -- chapter 8 Contracts on Three or More Assets: Quantos, Rainbows and "Friends"...

Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe...

chapter 1 The Basics of Credit Risk Management -- chapter 2 Modeling Correlated Defaults -- chapter 3 Asset Value Models -- chapter 4 The CreditRisk+ Model -- chapter 5 Risk Measures and Capital Allocation -- chapter 6 Term Structure of Default Probability -- chapter 7 Credit Derivatives --...