Mathematical Techniques in Finance. Amir Sadr

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      1  Cover

      2  Title Page

      3  Copyright

      4  Dedication

      5  Preface BACKGROUND BOOK STRUCTURE

      6  Acknowledgments

      7  About the Author

      8  Acronyms

      9  CHAPTER 1: Finance 1.1 FOLLOW THE MONEY 1.2 FINANCIAL MARKETS AND PARTICIPANTS 1.3 QUANTITATIVE FINANCE

      10  CHAPTER 2: Rates, Yields, Bond Math 2.1 INTEREST RATES 2.2 ARBITRAGE, LAW OF ONE PRICE 2.3 PRICE‐YIELD FORMULA 2.4 SOLVING FOR YIELD: ROOT SEARCH 2.5 PRICE RISK 2.6 LEVEL PAY LOAN 2.7 YIELD CURVE EXERCISES PYTHON PROJECTS

      11  CHAPTER 3: Investment Theory 3.1 UTILITY THEORY 3.2 PORTFOLIO SELECTION 3.3 CAPITAL ASSET PRICING MODEL 3.4 FACTORS 3.5 MEAN‐VARIANCE EFFICIENCY AND UTILITY 3.6 INVESTMENTS IN PRACTICE REFERENCES EXERCISES PYTHON PROJECTS

      12  CHAPTER 4: Forwards and Futures 4.1 FORWARDS 4.2 FUTURES CONTRACTS 4.3 STOCK DIVIDENDS 4.4 FORWARD FOREIGN CURRENCY EXCHANGE RATE 4.5 FORWARD INTEREST RATES REFERENCES EXERCISES

      13  CHAPTER 5: Risk‐Neutral Valuation 5.1 CONTINGENT CLAIMS 5.2 BINOMIAL MODEL 5.3 FROM ONE TIME‐STEP TO TWO 5.4 RELATIVE PRICES REFERENCES EXERCISES

      14  CHAPTER 6: Option Pricing 6.1 RANDOM WALK AND BROWNIAN MOTION 6.2 BLACK‐SCHOLES‐MERTON CALL FORMULA 6.3 IMPLIED VOLATILITY 6.4 GREEKS 6.5 DIFFUSIONS, ITO 6.6 CRR BINOMIAL MODEL 6.7 AMERICAN‐STYLE OPTIONS 6.8 PATH‐DEPENDENT OPTIONS 6.9 EUROPEAN OPTIONS IN PRACTICE REFERENCES EXERCISES PYTHON PROJECTS

      15  CHAPTER 7: Interest Rate Derivatives 7.1 TERM STRUCTURE OF INTEREST RATES 7.2 INTEREST RATE SWAPS 7.3 INTEREST RATE DERIVATIVES 7.4 INTEREST RATE MODELS 7.5 BERMUDAN SWAPTIONS 7.6 TERM STRUCTURE MODELS 7.7 INTEREST RATE DERIVATIVES IN PRACTICE REFERENCES СКАЧАТЬ