Description

Book Synopsis


Table of Contents

Foreword by A.G. MALLIARIS, Loyola University, Chicago xi

Main Notations xiii

Introduction xv

PART I THE DETERMINISTIC ENVIRONMENT

1 Prior to the Yield Curve: Spot and Forward Rates 3

2 The Term Structure or Yield Curve 13

3 Spot Instruments 23

4 Equities and Stock Indexes 47

5 Forward Instruments 75

6 Swaps 91

7 Futures 119

PART II THE PROBABILISTIC ENVIRONMENT

8 The Basis of Stochastic Calculus 147

9 Other Financial Models: From ARMA to the GARCH Family 165

10 Option Pricing in General 175

11 Options on Specific Underlyings and Exotic Options 209

12 Volatility and Volatility Derivatives 237

13 Credit Derivatives 257

14 Market Performance and Risk Measures 275

15 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303

Bibliography 319

Index 323

Mathematics of the Financial Markets Financial

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    A Hardback by Alain Ruttiens

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      Publisher: John Wiley & Sons Inc
      Publication Date: 22/03/2013
      ISBN13: 9781118513453, 978-1118513453
      ISBN10: 1118513452

      Description

      Book Synopsis


      Table of Contents

      Foreword by A.G. MALLIARIS, Loyola University, Chicago xi

      Main Notations xiii

      Introduction xv

      PART I THE DETERMINISTIC ENVIRONMENT

      1 Prior to the Yield Curve: Spot and Forward Rates 3

      2 The Term Structure or Yield Curve 13

      3 Spot Instruments 23

      4 Equities and Stock Indexes 47

      5 Forward Instruments 75

      6 Swaps 91

      7 Futures 119

      PART II THE PROBABILISTIC ENVIRONMENT

      8 The Basis of Stochastic Calculus 147

      9 Other Financial Models: From ARMA to the GARCH Family 165

      10 Option Pricing in General 175

      11 Options on Specific Underlyings and Exotic Options 209

      12 Volatility and Volatility Derivatives 237

      13 Credit Derivatives 257

      14 Market Performance and Risk Measures 275

      15 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303

      Bibliography 319

      Index 323

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