Art of Quantitative Finance Vol.2

Prof. Gerhard Larcher is full Professor for Financial Mathematics and Head of the Institute for Financial Mathematics and Applied Number Theory at the Johannes Kepler University Linz in Austria. He is the spokesperson of the project 'Quasi-Monte Carlo Methods: Theory and Applications', a special research program funded by the Austrian government.

“The author’s presentation is clear and accessible, focusing more on the intuition than on mathematical abstraction or generality.” (Claudio Fontana, zbMATH 1527.91001, 2024)

• 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 interest rate derivatives