1 Financial Option Valuation -- 1.1 Financial Options -- 1.2 The Black-Scholes PDE -- 2 Partial Differential Equations -- 2.1 Convection-Diffusion-Reaction Equations -- 2.2 The Model Equation -- 2.3 Boundary Conditions -- 2.4 Notes and References -- 3 Spatial Discretization I -- 3.1 Method of...

"The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity...

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In...

This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus...

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is...

Introduction -- Introduction to derivatives trading -- Introduction to derivative trading -- Legal and operations of derivative trading -- Cva primer and credit default -- FVA primer : derivatives pricing with funding -- Other valuation adjustments -- Modeling, calculation and system...