Deterministic and Stochastic Topics in Computational Finance

The book presents continuous time models for financial markets, starting from classical models such as Black–Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

Topics covered:

• Interest Rates and Bonds
• Forward Rates and Yield Curves
• Risk-neutral Valuation
• Martingale Measures
• Black–Scholes Analysis
• American Options
• Stochastic Volatility Models (Heston, AR, GARCH)
• Stochastic Return Models (VAR)