A delicate balance of mathematical sophistication.
Tables, charts, examples, and market data discussions have all been revisited to reflect current market conditions, including:
- Nonessential mathematical material has been eliminated or included in end-of-chapter appendices and the technical notes on the author’s website.
- Concepts that are likely to be new to many readers have been explained carefully.
- UPDATED - Numerical examples have been included for added clarity.?
Tables, charts, examples, and market data discussions have all been revisited to reflect current market conditions, including:
- NEW - Overnight reference rates that will replace LIBOR at the end of 2021, and their impact on valuation models.
- NEW - Rough volatility models which have in the last few years been found to fit volatility surfaces (Chapter 27).
- NEW - Machine learning in the pricing and hedging of derivatives.
- NEW - The fractional Brownian motion in the discussion on Wiener processes.
- NEW - Changes in the regulatory environment, including Basel IV.
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