Mathematical Techniques in Finance: An Introduction
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Newark
John Wiley & Sons, Incorporated
2022
|
| Schriftenreihe: | Wiley Finance Ser
|
| Schlagworte: | |
| Online-Zugang: | HWR01 |
| Beschreibung: | 1 Online-Ressource (267 Seiten) |
| ISBN: | 9781119838418 |
Internformat
MARC
| LEADER | 00000nmm a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV048324120 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220712s2022 |||| o||u| ||||||eng d | ||
| 020 | |a 9781119838418 |q (electronic bk.) |9 9781119838418 | ||
| 035 | |a (ZDB-30-PQE)EBC6961353 | ||
| 035 | |a (ZDB-30-PAD)EBC6961353 | ||
| 035 | |a (ZDB-89-EBL)EBL6961353 | ||
| 035 | |a (OCoLC)1319211856 | ||
| 035 | |a (DE-599)BVBBV048324120 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-2070s | ||
| 100 | 1 | |a Sadr, Amir |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Mathematical Techniques in Finance |b An Introduction |
| 264 | 1 | |a Newark |b John Wiley & Sons, Incorporated |c 2022 | |
| 264 | 4 | |c ©2022 | |
| 300 | |a 1 Online-Ressource (267 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Wiley Finance Ser | |
| 505 | 8 | |a Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Acronyms -- CHAPTER 1 Finance -- 1.1 Follow the Money -- 1.2 Financial Markets and Participants -- 1.3 Quantitative Finance -- CHAPTER 2 Rates, Yields, Bond Math -- 2.1 Interest Rates -- 2.1.1 Fractional Periods -- 2.1.2 Continuous Compounding -- 2.1.3 Discount Factor, PV, FV -- 2.1.4 Yield, Internal Rate of Return -- 2.2 Arbitrage, Law of One Price -- 2.3 Price‐Yield Formula -- 2.3.1 Clean Price -- 2.3.2 Zero‐Coupon Bond -- 2.3.3 Annuity -- 2.3.4 Fractional Years, Day Counts -- 2.3.5 U.S. Treasury Securities -- 2.4 Solving for Yield: Root Search -- 2.4.1 Newton‐Raphson Method -- 2.4.2 Bisection Method -- 2.5 Price Risk -- 2.5.1 PV01, PVBP -- 2.5.2 Convexity -- 2.5.3 Taylor Series Expansion -- 2.5.4 Expansion Around C -- 2.5.5 Numerical Derivatives -- 2.6 Level Pay Loan -- 2.6.1 Interest and Principal Payments -- 2.6.2 Average Life -- 2.6.3 Pool of Loans -- 2.6.4 Prepayments -- 2.6.5 Negative Convexity -- 2.7 Yield Curve -- 2.7.1 Bootstrap Method -- 2.7.2 Interpolation Method -- 2.7.3 Rich/Cheap Analysis -- 2.7.4 Yield Curve Trades -- Exercises -- Python Projects -- CHAPTER 3 Investment Theory -- 3.1 Utility Theory -- 3.1.1 Risk Appetite -- 3.1.2 Risk versus Uncertainty, Ranking -- 3.1.3 Utility Theory Axioms -- 3.1.4 Certainty‐Equivalent -- 3.1.5 X‐ARRA -- 3.2 Portfolio Selection -- 3.2.1 Asset Allocation -- 3.2.2 Markowitz Mean‐Variance Portfolio Theory -- 3.2.3 Risky Assets -- 3.2.4 Portfolio Risk -- 3.2.5 Minimum Variance Portfolio -- 3.2.6 Leverage, Short Sales -- 3.2.7 Multiple Risky Assets -- 3.2.8 Efficient Frontier -- 3.2.9 Minimum Variance Frontier -- 3.2.10 Separation: Two‐Fund Theorem -- 3.2.11 Risk‐Free Asset -- 3.2.12 Capital Market Line -- 3.2.13 Market Portfolio -- 3.3 Capital Asset Pricing Model -- 3.3.1 CAPM Pricing | |
| 505 | 8 | |a 3.3.2 Systematic and Diversifiable Risk -- 3.4 Factors -- 3.4.1 Arbitrage Pricing Theory -- 3.4.2 Fama‐French Factors -- 3.4.3 Factor Investing -- 3.4.4 PCA -- 3.5 Mean‐Variance Efficiency and Utility -- 3.5.1 Parabolic Utility -- 3.5.2 Jointly Normal Returns -- 3.6 Investments in Practice -- 3.6.1 Rebalancing -- 3.6.2 Performance Measures -- 3.6.3 Z‐Scores, Mean‐Reversion, Rich‐Cheap -- 3.6.4 Pairs Trading -- 3.6.5 Risk Management -- 3.6.5.1 Gambler's Ruin -- 3.6.5.2 Kelly's Ratio -- References -- Exercises -- Python Projects -- CHAPTER 4 Forwards and Futures -- 4.1 Forwards -- 4.1.1 Forward Price -- 4.1.2 Cash and Carry -- 4.1.3 Interim Cash Flows -- 4.1.4 Valuation of Forwards -- 4.1.5 Forward Curve -- 4.2 Futures Contracts -- 4.2.1 Futures versus Forwards -- 4.2.2 Zero‐Cost, Leverage -- 4.2.3 Mark‐to‐Market Loss -- 4.3 Stock Dividends -- 4.4 Forward Foreign Currency Exchange Rate -- 4.5 Forward Interest Rates -- References -- Exercises -- CHAPTER 5 Risk‐Neutral Valuation -- 5.1 Contingent Claims -- 5.2 Binomial Model -- 5.2.1 Probability‐Free Pricing -- 5.2.2 No Arbitrage -- 5.2.3 Risk‐Neutrality -- 5.3 From One Time‐Step to Two -- 5.3.1 Self‐Financing, Dynamic Hedging -- 5.3.2 Iterated Expectation -- 5.4 Relative Prices -- 5.4.1 Risk‐Neutral Valuation -- 5.4.2 Fundamental Theorems of Asset Pricing -- References -- Exercises -- CHAPTER 6 Option Pricing -- 6.1 Random Walk and Brownian Motion -- 6.1.1 Random Walk -- 6.1.2 Brownian Motion -- 6.1.3 Lognormal Distribution, Geometric Brownian Motion -- 6.2 Black‐Scholes‐Merton Call Formula -- 6.2.1 Put‐Call Parity -- 6.2.2 Black's Formula: Options on Forwards -- 6.2.3 Call Is All You Need -- 6.3 Implied Volatility -- 6.3.1 Skews, Smiles -- 6.4 Greeks -- 6.4.1 Greeks Formulas -- 6.4.2 Gamma versus Theta -- 6.4.3 Delta, Gamma versus Time -- 6.5 Diffusions, Ito -- 6.5.1 Black‐Scholes‐Merton PDE. | |
| 505 | 8 | |a 6.5.2 Call Formula and Heat Equation -- 6.6 CRR Binomial Model -- 6.6.1 CRR Greeks -- 6.7 American‐Style Options -- 6.7.1 American Call Options -- 6.7.2 Backward Induction -- 6.8 Path‐Dependent Options -- 6.9 European Options in Practice -- References -- Exercises -- Python Projects -- CHAPTER 7 Interest Rate Derivatives -- 7.1 Term Structure of Interest Rates -- 7.1.1 Zero Curve -- 7.1.2 Forward Rate Curve -- 7.2 Interest Rate Swaps -- 7.2.1 Swap Valuation -- 7.2.2 Swap & -- equals -- Bone − 100% -- 7.2.3 Discounting the Forwards -- 7.2.4 Swap Rate as Average Forward Rate -- 7.3 Interest Rate Derivatives -- 7.3.1 Black's Normal Model -- 7.3.2 Caps and Floors -- 7.3.3 European Swaptions -- 7.3.4 Constant Maturity Swaps -- 7.4 Interest Rate Models -- 7.4.1 Money Market Account, Short Rate -- 7.4.2 Short Rate Models -- 7.4.3 Mean Reversion, Vasicek and Hull‐White Models -- 7.4.4 Short Rate Lattice Model -- 7.4.5 Pure Securities -- 7.5 Bermudan Swaptions -- 7.6 Term Structure Models -- 7.7 Interest Rate Derivatives in Practice -- 7.7.1 Interest Rate Risk -- 7.7.2 Value at Risk (VaR) -- References -- Exercises -- APPENDIX A Math and Probability Review -- A.1 Calculus and Differentiation Rules -- A.1.1 Taylor Series -- A.2 Probability Review -- A.2.1 Density and Distribution Functions -- A.2.2 Expected Values, Moments -- A.2.3 Conditional Probability and Expectation -- A.2.4 Jensen's Inequality -- A.2.5 Normal Distribution -- A.2.6 Central Limit Theorem -- A.3 Linear Regression Analysis -- A.3.1 Regression Distributions -- APPENDIX B Useful Excel Functions -- About the Companion Website -- Index -- EULA. | |
| 653 | 6 | |a Electronic books | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Sadr, Amir |t Mathematical Techniques in Finance |d Newark : John Wiley & Sons, Incorporated,c2022 |z 9781119838401 |
| 912 | |a ZDB-30-PQE | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033703415 | ||
| 966 | e | |u https://ebookcentral.proquest.com/lib/hwr/detail.action?docID=6961353 |l HWR01 |p ZDB-30-PQE |q HWR_PDA_PQE |x Aggregator |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804184183778574336 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Sadr, Amir |
| author_facet | Sadr, Amir |
| author_role | aut |
| author_sort | Sadr, Amir |
| author_variant | a s as |
| building | Verbundindex |
| bvnumber | BV048324120 |
| collection | ZDB-30-PQE |
| contents | Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Acronyms -- CHAPTER 1 Finance -- 1.1 Follow the Money -- 1.2 Financial Markets and Participants -- 1.3 Quantitative Finance -- CHAPTER 2 Rates, Yields, Bond Math -- 2.1 Interest Rates -- 2.1.1 Fractional Periods -- 2.1.2 Continuous Compounding -- 2.1.3 Discount Factor, PV, FV -- 2.1.4 Yield, Internal Rate of Return -- 2.2 Arbitrage, Law of One Price -- 2.3 Price‐Yield Formula -- 2.3.1 Clean Price -- 2.3.2 Zero‐Coupon Bond -- 2.3.3 Annuity -- 2.3.4 Fractional Years, Day Counts -- 2.3.5 U.S. Treasury Securities -- 2.4 Solving for Yield: Root Search -- 2.4.1 Newton‐Raphson Method -- 2.4.2 Bisection Method -- 2.5 Price Risk -- 2.5.1 PV01, PVBP -- 2.5.2 Convexity -- 2.5.3 Taylor Series Expansion -- 2.5.4 Expansion Around C -- 2.5.5 Numerical Derivatives -- 2.6 Level Pay Loan -- 2.6.1 Interest and Principal Payments -- 2.6.2 Average Life -- 2.6.3 Pool of Loans -- 2.6.4 Prepayments -- 2.6.5 Negative Convexity -- 2.7 Yield Curve -- 2.7.1 Bootstrap Method -- 2.7.2 Interpolation Method -- 2.7.3 Rich/Cheap Analysis -- 2.7.4 Yield Curve Trades -- Exercises -- Python Projects -- CHAPTER 3 Investment Theory -- 3.1 Utility Theory -- 3.1.1 Risk Appetite -- 3.1.2 Risk versus Uncertainty, Ranking -- 3.1.3 Utility Theory Axioms -- 3.1.4 Certainty‐Equivalent -- 3.1.5 X‐ARRA -- 3.2 Portfolio Selection -- 3.2.1 Asset Allocation -- 3.2.2 Markowitz Mean‐Variance Portfolio Theory -- 3.2.3 Risky Assets -- 3.2.4 Portfolio Risk -- 3.2.5 Minimum Variance Portfolio -- 3.2.6 Leverage, Short Sales -- 3.2.7 Multiple Risky Assets -- 3.2.8 Efficient Frontier -- 3.2.9 Minimum Variance Frontier -- 3.2.10 Separation: Two‐Fund Theorem -- 3.2.11 Risk‐Free Asset -- 3.2.12 Capital Market Line -- 3.2.13 Market Portfolio -- 3.3 Capital Asset Pricing Model -- 3.3.1 CAPM Pricing 3.3.2 Systematic and Diversifiable Risk -- 3.4 Factors -- 3.4.1 Arbitrage Pricing Theory -- 3.4.2 Fama‐French Factors -- 3.4.3 Factor Investing -- 3.4.4 PCA -- 3.5 Mean‐Variance Efficiency and Utility -- 3.5.1 Parabolic Utility -- 3.5.2 Jointly Normal Returns -- 3.6 Investments in Practice -- 3.6.1 Rebalancing -- 3.6.2 Performance Measures -- 3.6.3 Z‐Scores, Mean‐Reversion, Rich‐Cheap -- 3.6.4 Pairs Trading -- 3.6.5 Risk Management -- 3.6.5.1 Gambler's Ruin -- 3.6.5.2 Kelly's Ratio -- References -- Exercises -- Python Projects -- CHAPTER 4 Forwards and Futures -- 4.1 Forwards -- 4.1.1 Forward Price -- 4.1.2 Cash and Carry -- 4.1.3 Interim Cash Flows -- 4.1.4 Valuation of Forwards -- 4.1.5 Forward Curve -- 4.2 Futures Contracts -- 4.2.1 Futures versus Forwards -- 4.2.2 Zero‐Cost, Leverage -- 4.2.3 Mark‐to‐Market Loss -- 4.3 Stock Dividends -- 4.4 Forward Foreign Currency Exchange Rate -- 4.5 Forward Interest Rates -- References -- Exercises -- CHAPTER 5 Risk‐Neutral Valuation -- 5.1 Contingent Claims -- 5.2 Binomial Model -- 5.2.1 Probability‐Free Pricing -- 5.2.2 No Arbitrage -- 5.2.3 Risk‐Neutrality -- 5.3 From One Time‐Step to Two -- 5.3.1 Self‐Financing, Dynamic Hedging -- 5.3.2 Iterated Expectation -- 5.4 Relative Prices -- 5.4.1 Risk‐Neutral Valuation -- 5.4.2 Fundamental Theorems of Asset Pricing -- References -- Exercises -- CHAPTER 6 Option Pricing -- 6.1 Random Walk and Brownian Motion -- 6.1.1 Random Walk -- 6.1.2 Brownian Motion -- 6.1.3 Lognormal Distribution, Geometric Brownian Motion -- 6.2 Black‐Scholes‐Merton Call Formula -- 6.2.1 Put‐Call Parity -- 6.2.2 Black's Formula: Options on Forwards -- 6.2.3 Call Is All You Need -- 6.3 Implied Volatility -- 6.3.1 Skews, Smiles -- 6.4 Greeks -- 6.4.1 Greeks Formulas -- 6.4.2 Gamma versus Theta -- 6.4.3 Delta, Gamma versus Time -- 6.5 Diffusions, Ito -- 6.5.1 Black‐Scholes‐Merton PDE. 6.5.2 Call Formula and Heat Equation -- 6.6 CRR Binomial Model -- 6.6.1 CRR Greeks -- 6.7 American‐Style Options -- 6.7.1 American Call Options -- 6.7.2 Backward Induction -- 6.8 Path‐Dependent Options -- 6.9 European Options in Practice -- References -- Exercises -- Python Projects -- CHAPTER 7 Interest Rate Derivatives -- 7.1 Term Structure of Interest Rates -- 7.1.1 Zero Curve -- 7.1.2 Forward Rate Curve -- 7.2 Interest Rate Swaps -- 7.2.1 Swap Valuation -- 7.2.2 Swap & -- equals -- Bone − 100% -- 7.2.3 Discounting the Forwards -- 7.2.4 Swap Rate as Average Forward Rate -- 7.3 Interest Rate Derivatives -- 7.3.1 Black's Normal Model -- 7.3.2 Caps and Floors -- 7.3.3 European Swaptions -- 7.3.4 Constant Maturity Swaps -- 7.4 Interest Rate Models -- 7.4.1 Money Market Account, Short Rate -- 7.4.2 Short Rate Models -- 7.4.3 Mean Reversion, Vasicek and Hull‐White Models -- 7.4.4 Short Rate Lattice Model -- 7.4.5 Pure Securities -- 7.5 Bermudan Swaptions -- 7.6 Term Structure Models -- 7.7 Interest Rate Derivatives in Practice -- 7.7.1 Interest Rate Risk -- 7.7.2 Value at Risk (VaR) -- References -- Exercises -- APPENDIX A Math and Probability Review -- A.1 Calculus and Differentiation Rules -- A.1.1 Taylor Series -- A.2 Probability Review -- A.2.1 Density and Distribution Functions -- A.2.2 Expected Values, Moments -- A.2.3 Conditional Probability and Expectation -- A.2.4 Jensen's Inequality -- A.2.5 Normal Distribution -- A.2.6 Central Limit Theorem -- A.3 Linear Regression Analysis -- A.3.1 Regression Distributions -- APPENDIX B Useful Excel Functions -- About the Companion Website -- Index -- EULA. |
| ctrlnum | (ZDB-30-PQE)EBC6961353 (ZDB-30-PAD)EBC6961353 (ZDB-89-EBL)EBL6961353 (OCoLC)1319211856 (DE-599)BVBBV048324120 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>06767nmm a2200397 cb4500</leader><controlfield tag="001">BV048324120</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220712s2022 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781119838418</subfield><subfield code="q">(electronic bk.)</subfield><subfield code="9">9781119838418</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-30-PQE)EBC6961353</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-30-PAD)EBC6961353</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-89-EBL)EBL6961353</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1319211856</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048324120</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-2070s</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Sadr, Amir</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Mathematical Techniques in Finance</subfield><subfield code="b">An Introduction</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Newark</subfield><subfield code="b">John Wiley & Sons, Incorporated</subfield><subfield code="c">2022</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">©2022</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (267 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley Finance Ser</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Acronyms -- CHAPTER 1 Finance -- 1.1 Follow the Money -- 1.2 Financial Markets and Participants -- 1.3 Quantitative Finance -- CHAPTER 2 Rates, Yields, Bond Math -- 2.1 Interest Rates -- 2.1.1 Fractional Periods -- 2.1.2 Continuous Compounding -- 2.1.3 Discount Factor, PV, FV -- 2.1.4 Yield, Internal Rate of Return -- 2.2 Arbitrage, Law of One Price -- 2.3 Price‐Yield Formula -- 2.3.1 Clean Price -- 2.3.2 Zero‐Coupon Bond -- 2.3.3 Annuity -- 2.3.4 Fractional Years, Day Counts -- 2.3.5 U.S. Treasury Securities -- 2.4 Solving for Yield: Root Search -- 2.4.1 Newton‐Raphson Method -- 2.4.2 Bisection Method -- 2.5 Price Risk -- 2.5.1 PV01, PVBP -- 2.5.2 Convexity -- 2.5.3 Taylor Series Expansion -- 2.5.4 Expansion Around C -- 2.5.5 Numerical Derivatives -- 2.6 Level Pay Loan -- 2.6.1 Interest and Principal Payments -- 2.6.2 Average Life -- 2.6.3 Pool of Loans -- 2.6.4 Prepayments -- 2.6.5 Negative Convexity -- 2.7 Yield Curve -- 2.7.1 Bootstrap Method -- 2.7.2 Interpolation Method -- 2.7.3 Rich/Cheap Analysis -- 2.7.4 Yield Curve Trades -- Exercises -- Python Projects -- CHAPTER 3 Investment Theory -- 3.1 Utility Theory -- 3.1.1 Risk Appetite -- 3.1.2 Risk versus Uncertainty, Ranking -- 3.1.3 Utility Theory Axioms -- 3.1.4 Certainty‐Equivalent -- 3.1.5 X‐ARRA -- 3.2 Portfolio Selection -- 3.2.1 Asset Allocation -- 3.2.2 Markowitz Mean‐Variance Portfolio Theory -- 3.2.3 Risky Assets -- 3.2.4 Portfolio Risk -- 3.2.5 Minimum Variance Portfolio -- 3.2.6 Leverage, Short Sales -- 3.2.7 Multiple Risky Assets -- 3.2.8 Efficient Frontier -- 3.2.9 Minimum Variance Frontier -- 3.2.10 Separation: Two‐Fund Theorem -- 3.2.11 Risk‐Free Asset -- 3.2.12 Capital Market Line -- 3.2.13 Market Portfolio -- 3.3 Capital Asset Pricing Model -- 3.3.1 CAPM Pricing</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.3.2 Systematic and Diversifiable Risk -- 3.4 Factors -- 3.4.1 Arbitrage Pricing Theory -- 3.4.2 Fama‐French Factors -- 3.4.3 Factor Investing -- 3.4.4 PCA -- 3.5 Mean‐Variance Efficiency and Utility -- 3.5.1 Parabolic Utility -- 3.5.2 Jointly Normal Returns -- 3.6 Investments in Practice -- 3.6.1 Rebalancing -- 3.6.2 Performance Measures -- 3.6.3 Z‐Scores, Mean‐Reversion, Rich‐Cheap -- 3.6.4 Pairs Trading -- 3.6.5 Risk Management -- 3.6.5.1 Gambler's Ruin -- 3.6.5.2 Kelly's Ratio -- References -- Exercises -- Python Projects -- CHAPTER 4 Forwards and Futures -- 4.1 Forwards -- 4.1.1 Forward Price -- 4.1.2 Cash and Carry -- 4.1.3 Interim Cash Flows -- 4.1.4 Valuation of Forwards -- 4.1.5 Forward Curve -- 4.2 Futures Contracts -- 4.2.1 Futures versus Forwards -- 4.2.2 Zero‐Cost, Leverage -- 4.2.3 Mark‐to‐Market Loss -- 4.3 Stock Dividends -- 4.4 Forward Foreign Currency Exchange Rate -- 4.5 Forward Interest Rates -- References -- Exercises -- CHAPTER 5 Risk‐Neutral Valuation -- 5.1 Contingent Claims -- 5.2 Binomial Model -- 5.2.1 Probability‐Free Pricing -- 5.2.2 No Arbitrage -- 5.2.3 Risk‐Neutrality -- 5.3 From One Time‐Step to Two -- 5.3.1 Self‐Financing, Dynamic Hedging -- 5.3.2 Iterated Expectation -- 5.4 Relative Prices -- 5.4.1 Risk‐Neutral Valuation -- 5.4.2 Fundamental Theorems of Asset Pricing -- References -- Exercises -- CHAPTER 6 Option Pricing -- 6.1 Random Walk and Brownian Motion -- 6.1.1 Random Walk -- 6.1.2 Brownian Motion -- 6.1.3 Lognormal Distribution, Geometric Brownian Motion -- 6.2 Black‐Scholes‐Merton Call Formula -- 6.2.1 Put‐Call Parity -- 6.2.2 Black's Formula: Options on Forwards -- 6.2.3 Call Is All You Need -- 6.3 Implied Volatility -- 6.3.1 Skews, Smiles -- 6.4 Greeks -- 6.4.1 Greeks Formulas -- 6.4.2 Gamma versus Theta -- 6.4.3 Delta, Gamma versus Time -- 6.5 Diffusions, Ito -- 6.5.1 Black‐Scholes‐Merton PDE.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">6.5.2 Call Formula and Heat Equation -- 6.6 CRR Binomial Model -- 6.6.1 CRR Greeks -- 6.7 American‐Style Options -- 6.7.1 American Call Options -- 6.7.2 Backward Induction -- 6.8 Path‐Dependent Options -- 6.9 European Options in Practice -- References -- Exercises -- Python Projects -- CHAPTER 7 Interest Rate Derivatives -- 7.1 Term Structure of Interest Rates -- 7.1.1 Zero Curve -- 7.1.2 Forward Rate Curve -- 7.2 Interest Rate Swaps -- 7.2.1 Swap Valuation -- 7.2.2 Swap &amp -- equals -- Bone − 100% -- 7.2.3 Discounting the Forwards -- 7.2.4 Swap Rate as Average Forward Rate -- 7.3 Interest Rate Derivatives -- 7.3.1 Black's Normal Model -- 7.3.2 Caps and Floors -- 7.3.3 European Swaptions -- 7.3.4 Constant Maturity Swaps -- 7.4 Interest Rate Models -- 7.4.1 Money Market Account, Short Rate -- 7.4.2 Short Rate Models -- 7.4.3 Mean Reversion, Vasicek and Hull‐White Models -- 7.4.4 Short Rate Lattice Model -- 7.4.5 Pure Securities -- 7.5 Bermudan Swaptions -- 7.6 Term Structure Models -- 7.7 Interest Rate Derivatives in Practice -- 7.7.1 Interest Rate Risk -- 7.7.2 Value at Risk (VaR) -- References -- Exercises -- APPENDIX A Math and Probability Review -- A.1 Calculus and Differentiation Rules -- A.1.1 Taylor Series -- A.2 Probability Review -- A.2.1 Density and Distribution Functions -- A.2.2 Expected Values, Moments -- A.2.3 Conditional Probability and Expectation -- A.2.4 Jensen's Inequality -- A.2.5 Normal Distribution -- A.2.6 Central Limit Theorem -- A.3 Linear Regression Analysis -- A.3.1 Regression Distributions -- APPENDIX B Useful Excel Functions -- About the Companion Website -- Index -- EULA.</subfield></datafield><datafield tag="653" ind1=" " ind2="6"><subfield code="a">Electronic books</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="a">Sadr, Amir</subfield><subfield code="t">Mathematical Techniques in Finance</subfield><subfield code="d">Newark : John Wiley & Sons, Incorporated,c2022</subfield><subfield code="z">9781119838401</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-PQE</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033703415</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://ebookcentral.proquest.com/lib/hwr/detail.action?docID=6961353</subfield><subfield code="l">HWR01</subfield><subfield code="p">ZDB-30-PQE</subfield><subfield code="q">HWR_PDA_PQE</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048324120 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:12:43Z |
| indexdate | 2024-07-10T09:35:17Z |
| institution | BVB |
| isbn | 9781119838418 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033703415 |
| oclc_num | 1319211856 |
| open_access_boolean | |
| owner | DE-2070s |
| owner_facet | DE-2070s |
| physical | 1 Online-Ressource (267 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2022 |
| publishDateSearch | 2022 |
| publishDateSort | 2022 |
| publisher | John Wiley & Sons, Incorporated |
| record_format | marc |
| series2 | Wiley Finance Ser |
| spelling | Sadr, Amir Verfasser aut Mathematical Techniques in Finance An Introduction Newark John Wiley & Sons, Incorporated 2022 ©2022 1 Online-Ressource (267 Seiten) txt rdacontent c rdamedia cr rdacarrier Wiley Finance Ser Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Acronyms -- CHAPTER 1 Finance -- 1.1 Follow the Money -- 1.2 Financial Markets and Participants -- 1.3 Quantitative Finance -- CHAPTER 2 Rates, Yields, Bond Math -- 2.1 Interest Rates -- 2.1.1 Fractional Periods -- 2.1.2 Continuous Compounding -- 2.1.3 Discount Factor, PV, FV -- 2.1.4 Yield, Internal Rate of Return -- 2.2 Arbitrage, Law of One Price -- 2.3 Price‐Yield Formula -- 2.3.1 Clean Price -- 2.3.2 Zero‐Coupon Bond -- 2.3.3 Annuity -- 2.3.4 Fractional Years, Day Counts -- 2.3.5 U.S. Treasury Securities -- 2.4 Solving for Yield: Root Search -- 2.4.1 Newton‐Raphson Method -- 2.4.2 Bisection Method -- 2.5 Price Risk -- 2.5.1 PV01, PVBP -- 2.5.2 Convexity -- 2.5.3 Taylor Series Expansion -- 2.5.4 Expansion Around C -- 2.5.5 Numerical Derivatives -- 2.6 Level Pay Loan -- 2.6.1 Interest and Principal Payments -- 2.6.2 Average Life -- 2.6.3 Pool of Loans -- 2.6.4 Prepayments -- 2.6.5 Negative Convexity -- 2.7 Yield Curve -- 2.7.1 Bootstrap Method -- 2.7.2 Interpolation Method -- 2.7.3 Rich/Cheap Analysis -- 2.7.4 Yield Curve Trades -- Exercises -- Python Projects -- CHAPTER 3 Investment Theory -- 3.1 Utility Theory -- 3.1.1 Risk Appetite -- 3.1.2 Risk versus Uncertainty, Ranking -- 3.1.3 Utility Theory Axioms -- 3.1.4 Certainty‐Equivalent -- 3.1.5 X‐ARRA -- 3.2 Portfolio Selection -- 3.2.1 Asset Allocation -- 3.2.2 Markowitz Mean‐Variance Portfolio Theory -- 3.2.3 Risky Assets -- 3.2.4 Portfolio Risk -- 3.2.5 Minimum Variance Portfolio -- 3.2.6 Leverage, Short Sales -- 3.2.7 Multiple Risky Assets -- 3.2.8 Efficient Frontier -- 3.2.9 Minimum Variance Frontier -- 3.2.10 Separation: Two‐Fund Theorem -- 3.2.11 Risk‐Free Asset -- 3.2.12 Capital Market Line -- 3.2.13 Market Portfolio -- 3.3 Capital Asset Pricing Model -- 3.3.1 CAPM Pricing 3.3.2 Systematic and Diversifiable Risk -- 3.4 Factors -- 3.4.1 Arbitrage Pricing Theory -- 3.4.2 Fama‐French Factors -- 3.4.3 Factor Investing -- 3.4.4 PCA -- 3.5 Mean‐Variance Efficiency and Utility -- 3.5.1 Parabolic Utility -- 3.5.2 Jointly Normal Returns -- 3.6 Investments in Practice -- 3.6.1 Rebalancing -- 3.6.2 Performance Measures -- 3.6.3 Z‐Scores, Mean‐Reversion, Rich‐Cheap -- 3.6.4 Pairs Trading -- 3.6.5 Risk Management -- 3.6.5.1 Gambler's Ruin -- 3.6.5.2 Kelly's Ratio -- References -- Exercises -- Python Projects -- CHAPTER 4 Forwards and Futures -- 4.1 Forwards -- 4.1.1 Forward Price -- 4.1.2 Cash and Carry -- 4.1.3 Interim Cash Flows -- 4.1.4 Valuation of Forwards -- 4.1.5 Forward Curve -- 4.2 Futures Contracts -- 4.2.1 Futures versus Forwards -- 4.2.2 Zero‐Cost, Leverage -- 4.2.3 Mark‐to‐Market Loss -- 4.3 Stock Dividends -- 4.4 Forward Foreign Currency Exchange Rate -- 4.5 Forward Interest Rates -- References -- Exercises -- CHAPTER 5 Risk‐Neutral Valuation -- 5.1 Contingent Claims -- 5.2 Binomial Model -- 5.2.1 Probability‐Free Pricing -- 5.2.2 No Arbitrage -- 5.2.3 Risk‐Neutrality -- 5.3 From One Time‐Step to Two -- 5.3.1 Self‐Financing, Dynamic Hedging -- 5.3.2 Iterated Expectation -- 5.4 Relative Prices -- 5.4.1 Risk‐Neutral Valuation -- 5.4.2 Fundamental Theorems of Asset Pricing -- References -- Exercises -- CHAPTER 6 Option Pricing -- 6.1 Random Walk and Brownian Motion -- 6.1.1 Random Walk -- 6.1.2 Brownian Motion -- 6.1.3 Lognormal Distribution, Geometric Brownian Motion -- 6.2 Black‐Scholes‐Merton Call Formula -- 6.2.1 Put‐Call Parity -- 6.2.2 Black's Formula: Options on Forwards -- 6.2.3 Call Is All You Need -- 6.3 Implied Volatility -- 6.3.1 Skews, Smiles -- 6.4 Greeks -- 6.4.1 Greeks Formulas -- 6.4.2 Gamma versus Theta -- 6.4.3 Delta, Gamma versus Time -- 6.5 Diffusions, Ito -- 6.5.1 Black‐Scholes‐Merton PDE. 6.5.2 Call Formula and Heat Equation -- 6.6 CRR Binomial Model -- 6.6.1 CRR Greeks -- 6.7 American‐Style Options -- 6.7.1 American Call Options -- 6.7.2 Backward Induction -- 6.8 Path‐Dependent Options -- 6.9 European Options in Practice -- References -- Exercises -- Python Projects -- CHAPTER 7 Interest Rate Derivatives -- 7.1 Term Structure of Interest Rates -- 7.1.1 Zero Curve -- 7.1.2 Forward Rate Curve -- 7.2 Interest Rate Swaps -- 7.2.1 Swap Valuation -- 7.2.2 Swap & -- equals -- Bone − 100% -- 7.2.3 Discounting the Forwards -- 7.2.4 Swap Rate as Average Forward Rate -- 7.3 Interest Rate Derivatives -- 7.3.1 Black's Normal Model -- 7.3.2 Caps and Floors -- 7.3.3 European Swaptions -- 7.3.4 Constant Maturity Swaps -- 7.4 Interest Rate Models -- 7.4.1 Money Market Account, Short Rate -- 7.4.2 Short Rate Models -- 7.4.3 Mean Reversion, Vasicek and Hull‐White Models -- 7.4.4 Short Rate Lattice Model -- 7.4.5 Pure Securities -- 7.5 Bermudan Swaptions -- 7.6 Term Structure Models -- 7.7 Interest Rate Derivatives in Practice -- 7.7.1 Interest Rate Risk -- 7.7.2 Value at Risk (VaR) -- References -- Exercises -- APPENDIX A Math and Probability Review -- A.1 Calculus and Differentiation Rules -- A.1.1 Taylor Series -- A.2 Probability Review -- A.2.1 Density and Distribution Functions -- A.2.2 Expected Values, Moments -- A.2.3 Conditional Probability and Expectation -- A.2.4 Jensen's Inequality -- A.2.5 Normal Distribution -- A.2.6 Central Limit Theorem -- A.3 Linear Regression Analysis -- A.3.1 Regression Distributions -- APPENDIX B Useful Excel Functions -- About the Companion Website -- Index -- EULA. Electronic books Erscheint auch als Druck-Ausgabe Sadr, Amir Mathematical Techniques in Finance Newark : John Wiley & Sons, Incorporated,c2022 9781119838401 |
| spellingShingle | Sadr, Amir Mathematical Techniques in Finance An Introduction Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Acronyms -- CHAPTER 1 Finance -- 1.1 Follow the Money -- 1.2 Financial Markets and Participants -- 1.3 Quantitative Finance -- CHAPTER 2 Rates, Yields, Bond Math -- 2.1 Interest Rates -- 2.1.1 Fractional Periods -- 2.1.2 Continuous Compounding -- 2.1.3 Discount Factor, PV, FV -- 2.1.4 Yield, Internal Rate of Return -- 2.2 Arbitrage, Law of One Price -- 2.3 Price‐Yield Formula -- 2.3.1 Clean Price -- 2.3.2 Zero‐Coupon Bond -- 2.3.3 Annuity -- 2.3.4 Fractional Years, Day Counts -- 2.3.5 U.S. Treasury Securities -- 2.4 Solving for Yield: Root Search -- 2.4.1 Newton‐Raphson Method -- 2.4.2 Bisection Method -- 2.5 Price Risk -- 2.5.1 PV01, PVBP -- 2.5.2 Convexity -- 2.5.3 Taylor Series Expansion -- 2.5.4 Expansion Around C -- 2.5.5 Numerical Derivatives -- 2.6 Level Pay Loan -- 2.6.1 Interest and Principal Payments -- 2.6.2 Average Life -- 2.6.3 Pool of Loans -- 2.6.4 Prepayments -- 2.6.5 Negative Convexity -- 2.7 Yield Curve -- 2.7.1 Bootstrap Method -- 2.7.2 Interpolation Method -- 2.7.3 Rich/Cheap Analysis -- 2.7.4 Yield Curve Trades -- Exercises -- Python Projects -- CHAPTER 3 Investment Theory -- 3.1 Utility Theory -- 3.1.1 Risk Appetite -- 3.1.2 Risk versus Uncertainty, Ranking -- 3.1.3 Utility Theory Axioms -- 3.1.4 Certainty‐Equivalent -- 3.1.5 X‐ARRA -- 3.2 Portfolio Selection -- 3.2.1 Asset Allocation -- 3.2.2 Markowitz Mean‐Variance Portfolio Theory -- 3.2.3 Risky Assets -- 3.2.4 Portfolio Risk -- 3.2.5 Minimum Variance Portfolio -- 3.2.6 Leverage, Short Sales -- 3.2.7 Multiple Risky Assets -- 3.2.8 Efficient Frontier -- 3.2.9 Minimum Variance Frontier -- 3.2.10 Separation: Two‐Fund Theorem -- 3.2.11 Risk‐Free Asset -- 3.2.12 Capital Market Line -- 3.2.13 Market Portfolio -- 3.3 Capital Asset Pricing Model -- 3.3.1 CAPM Pricing 3.3.2 Systematic and Diversifiable Risk -- 3.4 Factors -- 3.4.1 Arbitrage Pricing Theory -- 3.4.2 Fama‐French Factors -- 3.4.3 Factor Investing -- 3.4.4 PCA -- 3.5 Mean‐Variance Efficiency and Utility -- 3.5.1 Parabolic Utility -- 3.5.2 Jointly Normal Returns -- 3.6 Investments in Practice -- 3.6.1 Rebalancing -- 3.6.2 Performance Measures -- 3.6.3 Z‐Scores, Mean‐Reversion, Rich‐Cheap -- 3.6.4 Pairs Trading -- 3.6.5 Risk Management -- 3.6.5.1 Gambler's Ruin -- 3.6.5.2 Kelly's Ratio -- References -- Exercises -- Python Projects -- CHAPTER 4 Forwards and Futures -- 4.1 Forwards -- 4.1.1 Forward Price -- 4.1.2 Cash and Carry -- 4.1.3 Interim Cash Flows -- 4.1.4 Valuation of Forwards -- 4.1.5 Forward Curve -- 4.2 Futures Contracts -- 4.2.1 Futures versus Forwards -- 4.2.2 Zero‐Cost, Leverage -- 4.2.3 Mark‐to‐Market Loss -- 4.3 Stock Dividends -- 4.4 Forward Foreign Currency Exchange Rate -- 4.5 Forward Interest Rates -- References -- Exercises -- CHAPTER 5 Risk‐Neutral Valuation -- 5.1 Contingent Claims -- 5.2 Binomial Model -- 5.2.1 Probability‐Free Pricing -- 5.2.2 No Arbitrage -- 5.2.3 Risk‐Neutrality -- 5.3 From One Time‐Step to Two -- 5.3.1 Self‐Financing, Dynamic Hedging -- 5.3.2 Iterated Expectation -- 5.4 Relative Prices -- 5.4.1 Risk‐Neutral Valuation -- 5.4.2 Fundamental Theorems of Asset Pricing -- References -- Exercises -- CHAPTER 6 Option Pricing -- 6.1 Random Walk and Brownian Motion -- 6.1.1 Random Walk -- 6.1.2 Brownian Motion -- 6.1.3 Lognormal Distribution, Geometric Brownian Motion -- 6.2 Black‐Scholes‐Merton Call Formula -- 6.2.1 Put‐Call Parity -- 6.2.2 Black's Formula: Options on Forwards -- 6.2.3 Call Is All You Need -- 6.3 Implied Volatility -- 6.3.1 Skews, Smiles -- 6.4 Greeks -- 6.4.1 Greeks Formulas -- 6.4.2 Gamma versus Theta -- 6.4.3 Delta, Gamma versus Time -- 6.5 Diffusions, Ito -- 6.5.1 Black‐Scholes‐Merton PDE. 6.5.2 Call Formula and Heat Equation -- 6.6 CRR Binomial Model -- 6.6.1 CRR Greeks -- 6.7 American‐Style Options -- 6.7.1 American Call Options -- 6.7.2 Backward Induction -- 6.8 Path‐Dependent Options -- 6.9 European Options in Practice -- References -- Exercises -- Python Projects -- CHAPTER 7 Interest Rate Derivatives -- 7.1 Term Structure of Interest Rates -- 7.1.1 Zero Curve -- 7.1.2 Forward Rate Curve -- 7.2 Interest Rate Swaps -- 7.2.1 Swap Valuation -- 7.2.2 Swap & -- equals -- Bone − 100% -- 7.2.3 Discounting the Forwards -- 7.2.4 Swap Rate as Average Forward Rate -- 7.3 Interest Rate Derivatives -- 7.3.1 Black's Normal Model -- 7.3.2 Caps and Floors -- 7.3.3 European Swaptions -- 7.3.4 Constant Maturity Swaps -- 7.4 Interest Rate Models -- 7.4.1 Money Market Account, Short Rate -- 7.4.2 Short Rate Models -- 7.4.3 Mean Reversion, Vasicek and Hull‐White Models -- 7.4.4 Short Rate Lattice Model -- 7.4.5 Pure Securities -- 7.5 Bermudan Swaptions -- 7.6 Term Structure Models -- 7.7 Interest Rate Derivatives in Practice -- 7.7.1 Interest Rate Risk -- 7.7.2 Value at Risk (VaR) -- References -- Exercises -- APPENDIX A Math and Probability Review -- A.1 Calculus and Differentiation Rules -- A.1.1 Taylor Series -- A.2 Probability Review -- A.2.1 Density and Distribution Functions -- A.2.2 Expected Values, Moments -- A.2.3 Conditional Probability and Expectation -- A.2.4 Jensen's Inequality -- A.2.5 Normal Distribution -- A.2.6 Central Limit Theorem -- A.3 Linear Regression Analysis -- A.3.1 Regression Distributions -- APPENDIX B Useful Excel Functions -- About the Companion Website -- Index -- EULA. |
| title | Mathematical Techniques in Finance An Introduction |
| title_auth | Mathematical Techniques in Finance An Introduction |
| title_exact_search | Mathematical Techniques in Finance An Introduction |
| title_exact_search_txtP | Mathematical Techniques in Finance An Introduction |
| title_full | Mathematical Techniques in Finance An Introduction |
| title_fullStr | Mathematical Techniques in Finance An Introduction |
| title_full_unstemmed | Mathematical Techniques in Finance An Introduction |
| title_short | Mathematical Techniques in Finance |
| title_sort | mathematical techniques in finance an introduction |
| title_sub | An Introduction |
| work_keys_str_mv | AT sadramir mathematicaltechniquesinfinanceanintroduction |