Mathematical Modeling and Computation in Finance - by Cornelis W Oosterlee & Lech a Grzelak (Paperback)

This comprehensive guide to quantitative finance provides a detailed analysis of stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications in the field of finance.

With an emphasis on practical applications, the book covers equity models before moving to short-rate and other interest rate models, casting them into the Heath-Jarrow-Morton framework.

The author presents several models for stock prices, interest rates, and foreign exchange rates, with increasing complexity across the chapters.

The book also includes exercises, solutions to selected exercises are available to students, while complete solutions are made available to instructors.

This book is a must-read for anyone interested in quantitative finance, including MSc and PhD students, academic researchers, and quants in the financial industry.