Financial Mathematics, Derivatives and Structured Products:
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| Main Authors: | , , , |
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| Format: | Book |
| Language: | English |
| Published: |
Singapore
Springer
[2019]
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xxiv, 395 Seiten Diagramme |
| ISBN: | 9789811336959 |
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MARC
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| 245 | 1 | 0 | |a Financial Mathematics, Derivatives and Structured Products |c Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li |
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Contents Part I 1 2 Financial Markets Introduction to Financial Markets. 1.1 Investable Assets and Instruments. 1.2 Investment Returns and Risks. 1.3 Performance Measures. 1.4 Financial Markets. 1.4.1 Centralized Clearing. 1.4.2 OTC Derivatives Documentation and Counterparty Risk Management. . 1.5 Securities Borrowing Lending and Repo. 1.6 Derivatives Activities. 3 3 4 6 7 8 8 9 11 Interest Rate Instruments. 2.1 Interest Rate Conventions. 2.1.1 Day Count Convention. 2.1.2 Business Day Convention. 2.2 Interest Rate Types and Zero CouponBond. 2.2.1 Simple Rate. 2.2.2 Compound Rate. 2.2.3 Continuous Rate. 2.2.4 Relationship Between Interest Rates. 2.2.5 Zero Coupon
Bond. 2.3 Money Market. 2.3.1 Money Market Instruments. 2.3.2 Interbank Lending Market. 2.4 Bonds. 2.4.1 Bond Features and Types. 2.4.2 Main Risks for a Bond. 2.4.3 Bond Quotation and Yield to Maturity. 2.4.4 Duration and Modified Duration. 2.5 Credit Rating. 13 13 13 14 14 15 15 15 16 16 17 17 17 18 18 19 19 21 21 xi
Contents xii 2.6 2.7 22 Forward Rate Agreement. Interest Rate Futures. 2.7.1 Short-Term Interest Rate (STIR) Futures. 2.7.2 Treasury Bond Futures. Interest Rate Swap. 2.8.1 Standard Swap. 2.8.2 Overnight Indexed Swap (OIS). 2.8.3 Other Swaps. Yield Curve Construction. 2.9.1 Yield Curve. 2.9.2 Interpolation Method for Yield Curve. 2.9.3 Bootstrapping Method. 2.9.4 Illustration Example for Yield Curve Construction 23 23 24 25 27 27 28 29 29 29 29 30 3 Equities and Equity Indices 92510107 3.1 Equity. 3.2 Stock Dividend. 3.3 Stock Split, Reverse Stock Split, Rights Issue. 3.4 Equity Index. 3.5 Equity Forward, Cash Carry and Reverse Cash Carry. 3.6
Equity Index Futures. 3.7 Equity Swap. 35 35 36 36 37 38 40 40 4 Foreign Exchange Instruments. 4.1 Quotation Conventions. 4.2 FX Spot, Forward, Swap, Non-deliverable Forward (NDF). 4.3 Interest Rate Parity for FX Forward. 4.4 Cross Currency Swap and Non-deliverable Swap (NDS). 43 43 44 45 46 5 Commodities. 5.1 Commodities Overview. 5.2 Commodity Forward and Futures. 5.3 A Special Commodity: Gold. 49 49 50 52 6 Credit Derivatives. 6.1 Credit Default Swap (CDS). 6.2 CLN (Credit Linked Note). 6.3 Credit Index. 6.4 Collateralized Debt Obligation (CDO). 55 55 56 57 58 7 Investment
Funds. 7.1 Funds. 7.1.1 Fund Price and Fees. 7.1.2 Fund Organization. 7.1.3 Share Classes. 7.1.4 Fund Derivatives. 7.2 Mutual Funds . 7.3 Hedge Funds. 61 61 61 62 62 63 63 64 2.8 2.9
Contents xiii 8 67 68 68 68 69 69 69 70 70 70 71 72 73 74 75 77 78 79 80 80 81 81 81 82 83 83 83 Options. 8.1 Option Features. 8.1.1 Option Style. 8.1.2 Mark-to-Market Price, Intrinsic Value and Time Value 8.1.3 Moneyness of an Option. 8.1.4 Notional Amount Definition. 8.2 Vanilla Options. 8.2.1 Equity Options. 8.2.2 Foreign Exchange Options. 8.2.3 Commodity Options. 8.2.4 Interest Rate Options. 8.2.5 Option Pricing, Hedging and Execution. 8.2.6 Implied Volatility. 8.2.7 Put-Call Parity. 8.2.8 Popular Strategies with European Options. 8.2.9 American Options. 8.3 Exotic Options. 8.3.1 Barrier Option.
8.3.2 Binary (or Digital) Option. 8.3.3 In-Out Parity. 8.3.4 Asian Option or Average Option. 8.3.5 Lookback Option. 8.3.6 Quanto Option and Composite Option. 8.3.7 Basket Option, Worst-of and Best-of Options. 8.4 Derivatives Modelling Framework. 8.4.1 Purpose of Derivatives Modelling. 8.4.2 Model Input Parameters and Calibration. Part II 9 Stochastic Calculus and Financial Modelling Elements of Probability. 9.1 Probability Space, Measure and Properties. 9.2 Independence and Conditional Probability. 9.3 Random Variable and Distribution. 9.3.1 Distribution. 9.3.2 Expectation. 9.3.3 Variance and Covariance. 9.3.4 Independent Random Variables. 9.3.5 Conditional Probability Distribution. 9.3.6 Characteristic Functions. 9.3.7 Normal
Distribution. 9.3.8 Exponential Distribution . 9.3.9 Poisson Distribution. 9.4 Limit Theorems. 9.4.1 Law of Large Numbers. 9.4.2 Central Limit Theorem. 89 89 90 92 92 93 95 96 96 97 97 100 100 101 101 101
xiv Contents 10 Stochastic Calculus Part I. 10.1 Stochastic Process. 10.2 Conditional Expectation. 10.3 Martingale. 10.4 Markov Property. 10.5 Quadratic Variation. 10.6 Brownian Motion. 10.7 Itô Integral. 10.8 Itô Calculus. 10.9 Poisson Process. 103 103 104 108 108 108 109 113 114 116 11 Black-Scholes-Merton Model for Option Pricing. 11.1 The Black-Scholes-Merton Model. 11.2 Derivation of the Black-Scholes Equation. . 11.3 Black-Scholes Formulas for Vanilla Options. 11.4 Discussion on Hedging Issues. 11.4.1 Sensitivities (Greeks). 11.4.2 Practical Issues in
Hedging. 119 119 121 124 126 126 129 12 Stochastic Calculus Part H. 12.1 Change of Probability. 12.2 Predictable Martingale Representation. 12.3 Stochastic Differential Equations. 135 135 139 139 13 Risk-Neutral Pricing Framework. 13.1 Money Market Account. 13.2 Risk-Neutral Probability Measure. 13.3 Self-Financing Portfolio. 13.3.1 Discounting, Excess Return and Self-Financing. 13.4 Fundamental Theorems of Asset Pricing. 13.5 Hedging and Pricing in Complete Market. 13.5.1 General Pricing Formula. 13.5.2 Determination of Hedging Parameter At. 13.6 Discussion on Hedging, Pricing and Risk-Neutral Framework. 13.7 Black-Scholes-Merton Model Revisited. 13.7.1 Closed-Form Solution for Call Option. 13.8 Dividend Modelling. 13.8.1 Risk-Neutral SDE with Continuous Dividend. 13.8.2 Vanilla Option Pricing
Formula. 13.8.3 Option Adjustment for Exceptional Dividend and Right Issuance. 13.9 Collateralized Derivative Pricing and FVA. 145 145 146 147 148 149 149 150 151 151 153 153 155 156 157 14 157 158 Numerical Methods for Option Pricing. 161 14.1 The Binomial Tree. 161 14.1.1 Tree Construction. 162 14.1.2 Determination of the Parameters. 164
Contents 14.2 XV Monte Carlo Method. 14.2.1 Monte Carlo Simulation for Option Pricing. 14.2.2 Generating One-Dimensional Random Variates. 14.2.3 Generating Multivariate Randoms. PDE Method with Finite Difference Approximation. 14.3.1 Explicit Scheme. 14.3.2 Implicit Scheme. 14.3.3 Crank-Nicolson Scheme. 14.3.4 Alternating Direction Implicit (ADI) Method. 165 165 166 169 172 175 176 176 176 15 American Options. 15.1 Stopping Time. 15.2 Backward Pricing. 15.3 Methods for Pricing American Options. 15.3.1 Binomial Tree. 15.3.2 Partial Differential Inequality. 15.3.3 Least-Square American Monte Carlo Method. 179 179 179 180 181 182 189 16 Exotic Options Pricing and Hedging. 16.1 Further Properties of Brownian Motion . 16.1.1 Covariance of Brownian
Motions. 16.1.2 First Passage Time. 16.1.3 Extremum to Date. 16.1.4 Reflection Principle. 16.1.5 Distribution of First Passage Time. 16.1.6 Joint Distribution with Extremum of Brownian Motion 16.2 Pricing of Exotic Options Under BSM Model. 16.2.1 European Binary Options. 16.2.2 American Binary and Barrier Options. 16.2.3 Asian Options. 16.2.4 Basket Options, Worst-of, Best-of Options. 16.3 Hedging Issues and Practical Solutions. 16.3.1 Gap Risk. 16.3.2 Large Delta Issue. 16.3.3 Correlation Risk. 195 195 195 196 196 197 198 198 201 201 202 205 207 207 207 210 211 17 Numéraires and the Pricing of Vanilla Interest Rate Options. 17.1 Introduction of Numéraire. 17.2 Change of Numéraire. 17.3 Self-Financing Condition. 17.4 Usual Numéraires and the Pricing of Vanilla Interest
Rate Options. 17.4.1 Money Market Account. 17.4.2 Zero Coupon Bond. 17.4.3 Annuity Factor. 17.4.4 SABR Model for Vanilla Interest Rate Options. 213 213 213 215 14.3 216 216 217 218 220
xvi 18 Contents Foreign Exchange Modelling. 18.1 Stochastic Model for Foreign Exchange Rate. 18.2 Pricing Formulas for Vanilla Options and FX Option Duality. 18.3 SDE for Foreign Asset Under Domestic Measure. 18.4 Composite Option. 18.5 Quanto Option. 18.6 Discussions on Hedging. Part ПІ 19 20 223 223 224 225 227 228 228 Extensions to Financial Modelling Local, Stochastic Volatility Models, Static Hedging and Variance Swap. 19.1 Introduction. 19.2 Local Volatility Model. 19.3 Stochastic Volatility Model. 19.4 Static Hedging for European Style Options. 19.5 Variance Swap. 233 233 236 240 243 244 Jump-Diffusion Models. 20.1 Compound Poisson Process. 20.1.1 Simulating a Poisson Process and Compound Poisson
Process. 20.2 Stochastic Calculus for Jump-Diffusion Processes. 20.3 Jump-Diffusion Asset Pricing Model. 20.4 European Call or Put Option Pricing. 20.5 PIDE for a European Style Option. 20.6 Discussion on Hedging Under Jump-Diffusion Model. 249 249 250 250 252 253 255 256 21 Interest Rate Term Structure Modelling. 21.1 Continuous-Time Modelling of Interest Rate. 21.1.1 Zero Coupon Bond. 21.1.2 Short Rater, . 21.1.3 Forward Rate ƒ, ( T). 21.2 Heath-Jarrow-Morton Framework. 21.2.1 No-Arbitrage Short Rate Model. 21.2.2 Markovian Characterization for Short Rate Models . 21.3 Short Rate Models. 21.3.1 Hull-White One-Factor Model. 21.3.2 Two-Factor LGM(Linear Gaussian Model). 21.3.3 CIR (Cox-Ingersoll-Ross) One-Factor Model. 21.3.4 Affine-Yield Models. 21.4 Libor Market Model (LMM). 21.5 Convexity
Adjustment. 259 259 260 260 260 261 263 263 266 267 268 269 270 271 273 22 Credit Modelling. 22.1 Credit Modelling. 22.1.1 Structural Models. 22.1.2 Intensity Models. 277 277 277 278
xvii Contents 22.2 22.3 22.4 23 CDS (Credit Default Swap). 22.2.1 Credit Triangle. Pricing and Hedging of Basket Credit Derivatives. 22.3.1 Copula. 22.3.2 One-Factor Gaussian Copula Model. 22.3.3 Pricing of Basket Credit Derivatives. Counterparty Risk Measures. 280 281 281 281 282 283 284 Commodity Modelling. 291 Part IV Structured Products and Solutions 24 Structured Products. 24.1 Introduction. 24.2 Assets. 24.3 Payoff. 24.3.1 Principal Protected Products. 24.3.2 Principal Non Protected Products. 24.4 Wrapper or Instrument. 24.5 Risks of Structured Products. 24.6 Funding Management for Structured
Notes. 24.7 Back-Testing. .'. 24.8 Business Organization. . 24.9 Payoff Structuring Techniques. 24.10 Pricing and Hedging. 297 297 298 299 299 300 301 302 303 304 305 305 307 25 Popular Structured Products. 25.1 Equity Structured Products. 25.1.1 Equity Linked Note (ELN) orReverse Convertible Note. 25.1.2 Fixed Coupon Callable Note (FCN) and Daily Accrual Callable (DAC). 25.1.3 Phoenix Callable Note. 25.1.4 Autocallable Structure. 25.1.5 Issuer Callable Structure. 25.1.6 Wedding Cake. 25.1.7 Bonus Enhanced Note (BEN). 25.1.8 Accumulator. 25.1.9 Decumulator. 25.1.10 Shark-Fin. 25.1.11 Twin-
Win. 25.1.12 Tracker՜*" Note. 25.1.13 Leveraged Structures. 25.1.14 Booster Note. 25.1.15 StellarNote. 25.1.16 Cliquet Option. 25.1.17 Himalaya. 309 309 310 312 313 314 315 317 317 318 320 320 321 322 323 324 324 325 325
xviii Contents 25.2 Fixed-Income Structured Products. 25.2.1 Range Accrual. 25.2.2 Inverse Floater. 25.2.3 Zero Coupon Callable Note. 25.2.4 Reverse Convertible Note on Rate. 25.2.5 Yield Spread Structure. Foreign-Exchange Structured Products. 25.3.1 Dual Currency Investment (DCI). 25.3.2 FX Accumulator. 25.3.3 Target Redemption Forward (TRF). Commodities Structured Products. Hybrid Structured Products. 25.5.1 Callable Daily Range Accrual. 25.5.2 Best-of Profile. 25.5.3 ASCOT: Asset Swapped Convertible Option Transaction. 25.5.4 Gap Note. Fund Linked Structured Products. 25.6.1 Bullish Note. 25.6.2 Bullish Coupon Note. Credit Linked Structured
Products. 25.7.1 Credit Linked Note (CLN). 25.7.2 CLN on Credit Index . Equity Derivatives for Corporates. 25.8.1 Financing. 25.8.2 Shares Buy-Back. 25.8.3 Shares Disposal. 326 326 328 328 328 329 330 330 331 331 334 335 335 336 26 Dynamic Asset Allocation. 26.1 Volatility Target for Risk Control. 26.2 Gap Risk Based Asset Allocation. 26.2.1 CPPI (Constant Proportion Portfolio Insurance). 26.2.2 ΉΡΡ (Time Invariant Portfolio Protection). 26.3 Portfolio Asset Allocation. 26.3.1 Risk-Based Methods. 26.3.2 Modem Portfolio Theory. 26.3.3 Black-Litterman Model. 351 352 353 355 356 356 358 359 363 27 Systematic Strategy. 27.1
Introduction. 27.2 Asset Pricing Models. 27.2.1 Capital Asset Pricing Model (CAPM). 27.2.2 Arbitrage Pricing Theory (APT). 27.3 Factors and Factor-Based Strategies. 27.4 Other Systematic Strategies. 27.5 Performance Measuring. 27.6 Customized Index. 367 367 368 368 370 371 374 374 375 25.3 25.4 25.5 25.6 25.7 25.8 336 337 338 339 340 340 340 341 341 342 345 346
Contents XIX A Theorems in Probability Theory. A.l Law of Total Covariance. A.2 Multivariate Random Variable. A.3 Multivariate Normal Distribution. A.4 Conditional Normal Distribution. 377 377 378 378 379 В Representation of CIR Process as a Squared Bessel Process. 383 B.l Squared Bessel Process. 383 B.2 Representation of CIR Process. 384 References. 387 Index 391 |
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| id | DE-604.BV045912092 |
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| indexdate | 2024-07-20T08:35:22Z |
| institution | BVB |
| isbn | 9789811336959 |
| language | English |
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| publisher | Springer |
| record_format | marc |
| spelling | Chan, Raymond H. 1958- Verfasser (DE-588)115597921 aut Financial Mathematics, Derivatives and Structured Products Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li Singapore Springer [2019] xxiv, 395 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering Statistics for Business, Management, Economics, Finance, Insurance Distribution (Probability theory Financial engineering Statistics Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Mathematische Modellierung (DE-588)7651795-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Finanzmathematik (DE-588)4017195-4 s Derivat Wertpapier (DE-588)4381572-8 s Mathematische Modellierung (DE-588)7651795-0 s b DE-604 Guo, Yves ZY. Verfasser (DE-588)1188632485 aut Lee, Spike T. Verfasser (DE-588)1188633392 aut Li, Xun Verfasser (DE-588)134129237 aut Erscheint auch als Druck-Ausgabe 978-981-13-3697-3 Erscheint auch als Online-Ausgabe 978-981-13-3696-6 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031294644&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chan, Raymond H. 1958- Guo, Yves ZY Lee, Spike T. Li, Xun Financial Mathematics, Derivatives and Structured Products Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering Statistics for Business, Management, Economics, Finance, Insurance Distribution (Probability theory Financial engineering Statistics Derivat Wertpapier (DE-588)4381572-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Mathematische Modellierung (DE-588)7651795-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4073788-3 (DE-588)7651795-0 (DE-588)4017195-4 |
| title | Financial Mathematics, Derivatives and Structured Products |
| title_auth | Financial Mathematics, Derivatives and Structured Products |
| title_exact_search | Financial Mathematics, Derivatives and Structured Products |
| title_full | Financial Mathematics, Derivatives and Structured Products Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li |
| title_fullStr | Financial Mathematics, Derivatives and Structured Products Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li |
| title_full_unstemmed | Financial Mathematics, Derivatives and Structured Products Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li |
| title_short | Financial Mathematics, Derivatives and Structured Products |
| title_sort | financial mathematics derivatives and structured products |
| topic | Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering Statistics for Business, Management, Economics, Finance, Insurance Distribution (Probability theory Financial engineering Statistics Derivat Wertpapier (DE-588)4381572-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Mathematische Modellierung (DE-588)7651795-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematical Modeling and Industrial Mathematics Probability Theory and Stochastic Processes Financial Engineering Statistics for Business, Management, Economics, Finance, Insurance Distribution (Probability theory Financial engineering Statistics Derivat Wertpapier Kreditmarkt Mathematische Modellierung Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031294644&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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