"This volume introduces simple mathematical models of financial markets, focussing on the problems of pricing and hedging risky financial instruments whose price evolution depends on the prices of other risky assets, such as stocks or commodities. Over the past four decades trading in these...

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

The Finite Element Method is a well-studied and well-understood method of solving partial differential equations. It's applicability to financial models formulated as PDEs is demonstrated. It's advantage concerning the computation of accurate "Greeks" is delineated. This is demonstrated with...

The Complete Book of Option Spreads and Combinations will be the definitive educational resource and reference guide for using option spreads and other sophisticated option strategies. Option spread trading has grown rapidly in recent years due to the reduction in brokerage commissions and ease...