"The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus - the bedrock of the present...

Given the rapid pace of development in economics and finance, a concise and up-to-date introduction to mathematical methods has become a prerequisite for all graduate students, even those not specializing in quantitative finance. This book offers an introductory text on mathematical methods for...

We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is...

This paper develops a model to describe the unequal time correlation between rate of returns of different stocks. A non-trivial fourth order derivative Lagrangian is defined to provide an unequal time propagator, which can be fitted to the market data. A calibration algorithm is designed to find...