Financial Modelling: Theory, Implementation and Practice with MATLAB Source (The Wiley Finance Series) by Joerg Kienitz offers a comprehensive guide to quantitative techniques applied to financial problems. The book combines theoretical knowledge with practical implementation using MATLAB, providing readers with the tools necessary for derivatives pricing, asset allocation, and risk management.

Divided into three parts, the first section delves into financial markets and complex models such as stochastic-local volatility models, jump processes, SABR, Heston, Bates, and multi-dimensional models. It explores risk-neutral densities, implied volatility surfaces, option pricing, and typical paths for various models.

The second part focuses on numerical methods essential for implementing the models discussed in the first part. This includes direct integration, Fourier transforms, the COS, CONV, Carr-Madan method, and Fourier-Space-Time Stepping techniques. The book also covers Monte Carlo simulation with bridge sampling for Gaussian settings and Lévy processes, as well as methods for computing Greeks using likelihood ratio methods and adjoint techniques.

The final part of the book is dedicated to optimization algorithms and model risk, equipping readers with a robust toolkit for addressing advanced mathematical models in finance. With its detailed coverage of both theory and practice, this book serves as an invaluable resource for practitioners seeking to enhance their understanding and application of financial modelling techniques.