Written by Professor Carol Alexander, a leading market risk expert, Quantitative Methods in Finance is the first part of the Market Risk Analysis four-volume set. This book serves as an accessible entry point for aspiring financial risk and asset managers, highly sought-after roles in today’s market.

Designed for readers with a moderate understanding of high school mathematics or a university degree in mathematics, physics, or engineering, no prior finance knowledge is required. The book prioritizes conceptual understanding over mathematical rigor, providing a fast-track introduction to financial analysis for those with a quantitative background. It emphasizes the mathematical areas most relevant to solving problems in financial risk and asset management.

Unique to this book is its focus on both continuous and discrete-time finance. Quantitative Methods in Finance not only applies mathematics to finance but also explains how these two disciplines intersect. This comprehensive guide equips readers with the tools to immediately apply their knowledge.

The Market Risk Analysis four-volume set reinforces concepts with practical examples and empirical case studies. This volume features:

Principal component analysis of European equity indices
Calibration of Student t distribution by maximum likelihood
Orthogonal regression and estimation of equity factor models
Simulations of geometric Brownian motion and correlated Student t variables
Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula
Cubic spline fitting of yield curves and implied volatilities
Solution of the Markowitz problem with constraints
Calculation of risk-adjusted performance metrics including Sharpe ratio, omega, and kappa indices