The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Stephen Blyth is managing director and head of public markets at the Harvard Management Company, the subsidiary of Harvard University responsible for the management of the University's endowment. He is also Professor of the Practice of Statistics at Harvard University. Before joining Harvard in 2006, Professor Blyth was managing director and head of the Global Rates proprietary trading group at Deutsche Bank in London, and managing director in the Interest Rate Group at Morgan Stanley in New York. Professor Blyth is a frequent speaker at international finance conferences and has written widely on issues facing practitioners in applied quantitative finance and in derivative markets. He holds a PhD in Statistics from Harvard University and an MA in Mathematics with first class honours from Christ's College, Cambridge University, where he is a Lady Margaret Beaufort Fellow. He was formerly a Lecturer in Mathematics at Imperial College London.
Inhaltsangabe
I Introduction and Preliminaries 1: Introduction 2: Preliminaries II Forwards, Swaps and Options 3: Forward contracts and forward prices 4: Forward rates and libor 5: Interest rate swaps 6: Futures contracts 7: No-arbitrage principle 8: Options III Replication, risk-neutrality and the fundamental theorem 9: Replication and risk-neutrality on the binomial tree 10: Martingales, numeraires and the fundamental theorem 11: Continuous time limit and Black-Scholes formula 12: Option price and probability duality IV Interest Rate Options 13: Caps, floors and swaptions 14: Cancellable swaps and Bermudan swaptions 15: Additional topics in interest rate derivatives V Through Continuous Time 16: Rough guide to continuous time
I Introduction and Preliminaries 1: Introduction 2: Preliminaries II Forwards, Swaps and Options 3: Forward contracts and forward prices 4: Forward rates and libor 5: Interest rate swaps 6: Futures contracts 7: No-arbitrage principle 8: Options III Replication, risk-neutrality and the fundamental theorem 9: Replication and risk-neutrality on the binomial tree 10: Martingales, numeraires and the fundamental theorem 11: Continuous time limit and Black-Scholes formula 12: Option price and probability duality IV Interest Rate Options 13: Caps, floors and swaptions 14: Cancellable swaps and Bermudan swaptions 15: Additional topics in interest rate derivatives V Through Continuous Time 16: Rough guide to continuous time
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