Analytical Finance: Volume I The Mathematics of Equity Derivatives, Markets, Risk and Valuation /

• Κύριος συγγραφέας: Röman, Jan R. M. (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2017.
• Θέματα: Finance.; Risk management.; Capital market.; Financial engineering.; Economics, Mathematical.; Financial Engineering.; Quantitative Finance.; Capital Markets.; Risk Management.

This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years’ experience in markets and in academia, it provides a valuable le...

Πίνακας περιεχομένων:

• 1.1. Clearing and settlement
• 1.2. About Risk
• 1.3. Credit and Counterparty Risk
• 1.4. Settlement Risk
• 1.5. Market Risk
• 1.6. Model Risk
• 2.1. Pricing via Arbitrage
• 2.2. Martingales
• 2.3. The Central Limit Theorem
• 2.4. A simple Random Walk
• 2.5. The Binomial model
• 2.6. Modern pricing theory based on risk-neutral valuation
• 2.7. More on Binomial models
• 2.8. Finite difference methods
• 2.9. Value-at-Risk - VaR
• 3.1. Introduction
• 3.2. A binomial model
• 3.3. Finite Probability Spaces
• 3.4. Properties of normal and log-normal distributions
• 3.5. The Itô Lemma
• 3.6. Stochastic integration
• 4.1. Classifications of Partial Differential Equations
• 4.2. Parabolic PDE's
• 4.3. The Black-Scholes-Merton model
• 4.4. Volatility
• 4.5. Parity relations
• 4.6. A practical guide to pricing
• 4.7. Currency options and the Garman-Kohlhagen model
• 4.8. Options on commodities
• 4.9. Black-Scholes and stochastic volatility
• 4.10. The Black-Scholes formulas
• 4.11. American versus European options
• 4.12. Analytical pricing formulas for American options
• 4.13. Poisson processes and jump diffusion
• 5.1. Martingale representation
• 5.2. Girsanov transformation
• 5.3. Securities paying dividends
• 5.4. Hedging
• 6.1. Contract for Difference - CFD
• 6.2. Binary options/ Digital options
• 6.3. Barrier options – Knock-out and Knock-in Options
• 6.4. Lookback Options
• 6.5. Asian Options
• 6.6. Chooser Options
• 6.7. Forward Options
• 6.8. Compound Options - Options on Options
• 6.9. Multi-Asset Options
• 6.10. Basket Options
• 6.11. Correlation Options
• 6.12. Exchange Options
• 6.13. Currency-Linked Options
• 6.14. Pay-Later Options
• 6.15. Extensible Options
• 6.16. Quantos
• 6.17. Structured products
• 6.18. Summary of exotic instruments
• 6.19. Something about weather derivatives
• 7.1. Introduction to deflators
• 8.1. Introduction
• 8.2. Strategies
• 8.3. A decreasing markets
• 8.4. An increasing market
• 8.5. Neutral markets
• 8.6. Volatile Markets
• 8.7. Using market indexes in pricing
• 8.8. Price direction matrix
• 8.9. Strategy matrix
• Appendix: Some source code.