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

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...

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Main Author: Röman, Jan R. M. (Author, http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2017.
Edition:1st ed. 2017.
Subjects:
Financial engineering.
Economics, Mathematical .
Capital market.
Risk management.
Financial Engineering.
Quantitative Finance.
Capital Markets.
Risk Management.
Online Access:https://doi.org/10.1007/978-3-319-34027-2
Table of Contents:
  • 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.

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