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05528nam a2200661 4500 |
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ocn841206466 |
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OCoLC |
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20170124071506.9 |
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m o d |
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130429s2013 enka ob 001 0 eng d |
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|a 860769748
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|z (OCoLC)860769748
|z (OCoLC)878078061
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|b Safari Books Online
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|b .R88 2013
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|x 027000
|2 bisacsh
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|a 332.01/519233
|2 23
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| 049 |
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|a MAIN
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1 |
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|a Ruttiens, Alain
|q (Alain H.)
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|a Mathematics of the financial markets :
|b financial instruments and derivatives modelling, valuation and risk issues /
|c Alain Ruttiens.
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| 264 |
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1 |
|a Chichester, West Sussex :
|b Wiley,
|c 2013.
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| 300 |
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|a 1 online resource (xvi, 333 pages) :
|b illustrations.
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 490 |
1 |
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|a Wiley finance series
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| 504 |
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|a Includes bibliographical references (pages 319-321) and index.
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0 |
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|a Online resource; title from PDF title page (Wiley, viewed September 13, 2013).
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|a 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
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8 |
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|a 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
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|a 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
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| 505 |
8 |
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|a 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
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| 505 |
8 |
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|a 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
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| 650 |
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|a Finance
|x Mathematical models.
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| 650 |
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0 |
|a Business mathematics.
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| 650 |
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7 |
|a BUSINESS & ECONOMICS
|x Finance.
|2 bisacsh
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| 650 |
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7 |
|a Business mathematics.
|2 fast
|0 (OCoLC)fst00842780
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| 650 |
|
7 |
|a Finance
|x Mathematical models.
|2 fast
|0 (OCoLC)fst00924398
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| 655 |
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4 |
|a Electronic books.
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| 776 |
0 |
8 |
|i Print version:
|a Ruttiens, Alain (Alain H.).
|t Mathematics of the financial markets.
|d Chichester, West Sussex : Wiley, 2013
|z 9781118513453
|w (OCoLC)817258933
|
| 830 |
|
0 |
|a Wiley finance series.
|
| 856 |
4 |
0 |
|u https://doi.org/10.1002/9781118818510
|z Full Text via HEAL-Link
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| 994 |
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|a 92
|b DG1
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