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Mathematics of the financial markets : financial instruments and derivatives modelling, valuation and risk issues /
The book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjectiv...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex :
Wiley,
2013.
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| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- Series; Title Page; Copyright; Dedication; Foreword; Main Notations; Introduction; Part I: The Deterministic Environment; Chapter 1: Prior to the yield curve: spot and forward rates; 1.1 INTEREST RATES, PRESENT AND FUTURE VALUES, INTEREST COMPOUNDING; 1.2 DISCOUNT FACTORS; 1.3 CONTINUOUS COMPOUNDING AND CONTINUOUS RATES; 1.4 FORWARD RATES; 1.5 THE NO ARBITRAGE CONDITION; FURTHER READING; Chapter 2: The term structure or yield curve; 2.1 INTRODUCTION TO THE YIELD CURVE; 2.2 THE YIELD CURVE COMPONENTS; 2.3 BUILDING A YIELD CURVE: METHODOLOGY; 2.4 AN EXAMPLE OF YIELD CURVE POINTS DETERMINATION.
- 2.5 INTERPOLATIONS ON A YIELD CURVEFURTHER READING; Chapter 3: Spot instruments; 3.1 SHORT-TERM RATES; 3.2 BONDS; 3.3 CURRENCIES; FURTHER READING; Chapter 4: Equities and stock indexes; 4.1 STOCKS VALUATION; 4.2 STOCK INDEXES; 4.3 THE PORTFOLIO THEORY; FURTHER READING; Chapter 5: Forward instruments; 5.1 THE FORWARD FOREIGN EXCHANGE; 5.2 FRAs; 5.3 OTHER FORWARD CONTRACTS; 5.4 CONTRACTS FOR DIFFERENCE (CFD); FURTHER READING; Chapter 6: Swaps; 6.1 DEFINITIONS AND FIRST EXAMPLES; 6.2 PRIOR TO AN IRS SWAP PRICING METHOD; 6.3 PRICING OF AN IRS SWAP; 6.4 (RE)VALUATION OF AN IRS SWAP.
- 6.5 THE SWAP (RATES) MARKET6.6 PRICING OF A CRS SWAP; 6.7 PRICING OF SECOND-GENERATION SWAPS; FURTHER READING; Chapter 7: Futures; 7.1 INTRODUCTION TO FUTURES; 7.2 FUTURES PRICING; 7.3 FUTURES ON EQUITIES AND STOCK INDEXES; 7.4 FUTURES ON SHORT-TERM INTEREST RATES; 7.5 FUTURES ON BONDS; 7.6 FUTURES ON CURRENCIES; 7.7 FUTURES ON (NON-FINANCIAL) COMMODITIES; FURTHER READING; Part II: The Probabilistic Environment; Chapter 8: The basis of stochastic calculus; 8.1 STOCHASTIC PROCESSES; 8.2 THE STANDARD WIENER PROCESS, OR BROWNIAN MOTION; 8.3 THE GENERAL WIENER PROCESS; 8.4 THE ITÔ PROCESS.
- 8.5 APPLICATION OF THE GENERAL WIENER PROCESS8.6 THE ITÔ LEMMA; 8.7 APPLICATION OF THE ITô LEMMA; 8.8 NOTION OF RISK NEUTRAL PROBABILITY; 8.9 NOTION OF MARTINGALE; ANNEX 8.1: PROOFS OF THE PROPERTIES OF dZ(t); ANNEX 8.2: PROOF OF THE ITÔ LEMMA; FURTHER READING; Chapter 9: Other financial models: from ARMA to the GARCH family; 9.1 THE AUTOREGRESSIVE (AR) PROCESS; 9.2 THE MOVING AVERAGE (MA) PROCESS; 9.3 THE AUTOREGRESSION MOVING AVERAGE (ARMA) PROCESS; 9.4 THE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PROCESS; 9.5 THE ARCH PROCESS; 9.6 THE GARCH PROCESS.
- 9.7 VARIANTS OF (G)ARCH PROCESSES9.8 THE MIDAS PROCESS; FURTHER READING; Chapter 10: Option pricing in general; 10.1 INTRODUCTION TO OPTION PRICING; 10.2 THE BLACK-SCHOLES FORMULA; 10.3 FINITE DIFFERENCE METHODS: THE COX-ROSS-RUBINSTEIN (CRR) OPTION PRICING MODEL; 10.4 MONTE CARLO SIMULATIONS; 10.5 OPTION PRICING SENSITIVITIES; FURTHER READING; Chapter 11: Options on specific underlyings and exotic options; 11.1 CURRENCY OPTIONS; 11.2 OPTIONS ON BONDS; 11.3 OPTIONS ON INTEREST RATES; 11.4 EXCHANGE OPTIONS; 11.5 BASKET OPTIONS; 11.6 BERMUDAN OPTIONS; 11.7 OPTIONS ON NON-FINANCIAL UNDERLYINGS.