Applied Quantitative Finance for Equity Derivatives second edition

Revised and corrected in December 2018 this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models but rather a book on relatively simple and standard models viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European American or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics. This second edition adds new arbitrage-free implied volatility interpolations and covers various warrants such as CBBCs.