Chapter 1. Introduction -- Chapter 2. Fixed Income -- Chapter 3. Mathematical Finance -- Chapter 4. Prepayment Model Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8. Semi-Analytic MBS Pricing -- Chapter 9....

Volatilities -- Extensions of the Black-Scholes theory to other types of options (futures options, currency options, American options, path-dependent options, multi-asset options) -- Fundamentals: stochastic analysis and applications, interest rate dynamics, and basic principles of pricing...

The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal investment problems and presents various examples. In the last...