Pricing via Arbitrage
The Central Limit Theorem
The Binomial model
More on Binomial models
Finite difference methods
Value-at-Risk - VaR
Introduction to probability theory
Stochastic integration
Partial parabolic differential equations and Feynman-Kač
The Black-Scholes-Merton model
American versus European options
Analytical pricing formulas for American options
Poisson processes and jump diffusion
Diffusion models in general
Hedging
Exotic Options
Volatility
Something about weather derivatives A Practical guide to pricing
Pricing using deflators
Securities with dividends
Some Fixed-Income securities and Black-Scholes
About the Author: Jan Roman is Financial Engineer in the Quantitative Risk Modelling Group at Swedbank Robur Funds, where he specializes in risk model validation, focusing on all inputs to front office systems including interest rates and volatility structures. He has over 16 years financial markets experience mostly in financial modeling and valuation in derivatives environments. He has held positions as Head of Market and Credit Risk, Swedbank Markets, Senior Risk Analyst at the Swedish financial Supervisory Authority, Senior Developer at SunGard and Senior Developer, OMX Stockholm Exchange.
Jan is also Senior Lecturer, Malardaran University, Sweden, where he teaches Analytical finance and financial engineering. He holds a PhD in Theoretical Physics from Chalmers University of Technology.
