""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...

… a nice book for researchers and practitioners. … this book can be regarded as a wonderful application of stochastic analysis, as it includes not only detailed theoretical proofs but also practical illustrative examples. With the systematic and feasible numeraire techniques, the book can...

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...