The art of quantitative finance: Vol. 1 Trading, derivatives and basic concepts
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| Beschreibung: | xix, 516 Seiten Illustrationen, Diagramme |
| ISBN: | 9783031238727 |
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| 245 | 1 | 0 | |a The art of quantitative finance |n Vol. 1 |p Trading, derivatives and basic concepts |c Gerhard Larcher |
| 264 | 1 | |a Cham |b Springer |c [2023] | |
| 300 | |a xix, 516 Seiten |b Illustrationen, Diagramme | ||
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Datensatz im Suchindex
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| adam_text | Contents 1 Basic Products and Interest Calculations.............................................. 1.1 Basic Properties of Bonds................................................................ 1.2 Example of a Bond.......................................................................... 1.3 Issuance of a Bond and Initial Issue Price........................................ 1.4 Chart of the Bond and Factors Influencing Price Developments .... 1.5 Discrete and Continuous Interest Compounding.............................. 1.6 Continuous Compounding at a Time-Varying Interest Rate............. 1.7 Euribor, Libor, Swap Rates, and Key Interest Rates........................ 1.8 Two Comments Regarding Loans: Calculation of Continuously Redeemable Loan Instalments as Well as Foreign Currency Loans and Interest Rate Parity Theory.............. 1.9 Bond Yields.................................................................................... 1.10 Forward Interest Rates.................................................................... 1.11 The Fair Value of a Future Payment, Discounting......................... 1.12 The Fair Value of a Bond................................................................ 1.13 Some Examples of Junk Bonds....................... 1.14 Stock (Basics)................................................................................. 1.15 Stock Market Dynamics................................................................. 1.16 Stock Indices................................................................................... 1.17 Trading in Indices Through
Index Certificates............................... 1.18 The ShortDAX and Index Certificates on the ShortDAX............... 1.19 The S P500 Index......................................................................... 1.20 The S P500 on the Black Monday of 19 October 1987 ............... 1.21 11 September 2001 ......................................................................... 1.22 The S P500 Index Around 10 October 2008, Overnight Gaps..... 1.23 The “Flash Crash” on 6 May 2010.................................................. 1.24 Price Forecasting and Run Analyses of Stock Prices and Index Prices..................................................................................... 1.25 Notes on a Simple Trading Strategy by Signals Using Exponential Moving Averages.............................................. 85 1 3 4 7 8 10 19 22 28 34 39 43 45 48 50 54 58 63 63 66 72 74 76 77 79 XV
xvi Contents Derivatives and Trading in Derivatives, Basic Concepts and Strategies............................................................................................. 91 2.1 What Is a Derivative?............................................................................ 2.2 European Plain-Vanilla Options, Definition and Basic Characteristics........................................................................... 92 2.3 American Options................................................................................. 2.4 Any Strategy Is Better than No Strategy and “The Secretary Problem”.................................................................................... 105 2.5 How Do You Trade Options? Trading Through a Bank.................... 2.6 How Do You Trade Options? Trading Through an Electronic Trading Platform........................................................................ 117 2.7 Who Trades in Options? Long Positions in Call Options, Leverage...................................................................................... 124 2.8 Who Trades in Options? Long Positions in Put Options, Protective Put............................................................................ 130 2.9 Who Trades in Options? Short Positions in Put Options, Selling Insurance, Put Spreads................................................. 138 2.10 Who Trades in Options? Short Positions in Call Options, Covered Call Strategies............................................................. 140 2.11 Discount
Certificates........................................................................... 2.12 Who Trades in Options? Long Straddle,Short Straddle................... 2.13 Relationship Between the Payoffs of Puts, Calls, and Underlying Asset...................................................................... 152 2.14 More Option Combinations................................................................ 2.15 Margin Rules for Short Positions in (СВОЕ S P500)Options....... 2.16 CBOE-Traded Options on the S P500 Index, Market-Maker System, Settlement of SPX Options....................................... 165 2.17 Futures, Basic Characteristics, Trading, Margin............................... 2.18 Long and Short Trades of Underlying Assets with Futures.............. 2.19 The “Euro-Bund Future”..................................................................... 2.20 More Comments on Futures Contracts (Rolling, Futures Options, Forwards)................................................................... 181 References........................................................................................................ 2 3 Basics of Derivative Valuation .................................................................... 3.1 Frictionless Markets and the No-Arbitrage Principle....................... 3.2 Application of the NA Principle: Put-Call Parity Equation............... 3.3 Simple Conclusions from the Put-Call Parity Equation .................... 3.4 Another Application of the NA Principle: The “Fair” Strike Price of a Futures Contract (on a Dividend-Free/Cost-Free Underlying
Asset)................................................................................ 3.5 Valuation of Futures for Underlying Assets with Payouts or Costs...................................................................................... 212 3.6 The Put-Call Parity Equation for Underlying Assets with Payouts or Costs....................................................................... 216 92 101 113 142 145 155 160 167 172 177 187 189 190 196 203 208
Contents 3.7 3.8 Basies of Derivative Valuation and Pricing Models........................... The One-Step Binomial Model and Derivative Valuation in the One-Step Binomial Model: Part 1..................................... 222 3.9 The One-Step Binomial Model and Derivative Valuation in the One-Step Binomial Model: Part II.................................... 227 3.10 Derivative Valuation in the One-Step Binomial Model: Discussion of Outcomes.......................................................... 233 3.11 A Brief Excursus on the Degree of Luck and Skill in Games......... 3.12 Fair Price of Derivatives in the Binomial Model on Underlying Assets with Payouts/Costs.............................................. 3.13 The Two-step Binomial Model........................................................... 3.14 Derivative Valuation in the Two-Step Binomial Model: Discussion of Results............................................................... 255 3.15 Hedging and Arbitrage in the Two-Step Binomial Model............... 3.16 Numerical Example of How to Value and Hedge Derivatives and Execute Arbitrage Trades in a Two-Step Binomial Model........ 3.17 Derivative Valuation in the N-Step Binomial Model........................ 3.18 Comments on the Valuation of Derivatives in the N-Step Binomial Model and an Example........................................... 268 3.19 Derivative Valuation in the N-Step Binomial Model on Underlying Assets with Payouts or Costs.............................. 271
Reference......................................................................................................... 4 xvii 219 246 250 251 257 258 262 272 The Wiener Stock Price Model and the Basic Principles of Black-Scholes Theory......................................................................... 273 4.1 Basic Tools for Analysing Real Stock Prices: Trend, Volatility, Distribution of Returns, Skewness, and Kurtosis. 274 4.2 Basic Tools for Analysing Real Stock Prices: Covariances and Correlations....................................................................... 292 4.3 Basic Tools for Analysing Real Stock Prices: Autocorrelations of Stock Returns.......................................... 304 4.4 What Does Mathematical Modeling Mean? What Is a Stock Price Model?............................................................................. 306 4.5 The Wiener Stock Price Model........................................................... 313 4.6 Simulation of Stock Prices in the Wiener Model............................... 316 4.7 Simulation of Two Correlated Stock Prices....................................... 319 4.8 Simulation of Several Correlated Stock Prices.................................. 324 4.9 Simulation of a Wiener Model for Given Initial and Final Values: The Brownian Bridge............................................................. 329 4.10 Expectations, Variances, and Probability Distributions of Stock Prices in the Wiener Model.......................................... 332 4.11 Approximation of the Wiener Model Through Binomial Models: Preliminary
Remarks................................................ 338 4.12 Approximation of the Wiener Model Through Binomial Models: Preparation................................................................. 338
xviii Contents 4.13 The Central Limit Theorem.............................................................. 4.14 Approximation of the Wiener Model Through Binomial Models: The Proof (Sketch of Proof).................................... 345 4.15 The Brownian Motion, Motivation, and Definition......................... 4.16 The Brownian Motion: Basic Properties ......................................... 4.17 The Wiener Model as a Geometric Brownian Motion and the Brownian Motion with Drift................................................. 371 4.18 The Black-Scholes Formula in the Wiener Model.......................... 4.19 The Fair Price of a European Call Option and a European Put Option in the Wiener Model ................................................. 379 4.20 A (Very) Short History of the Black-Scholes Formula................... 4.21 Perfect Hedging in the Black-Scholes Model.................................. 4.22 Another Example of the Application of the Black-Scholes Formula and of Perfect Hedging as Well as Its Implementation in Discrete Hedging............................................... 4.23 Discretely Approximated Perfect Hedging for European Derivatives, Especially for European Call and Put Options. 393 4.24 Detailed Discussion of the Black-Scholes Formula for European Call Options I (Dependence on S and i, Intrinsic Value, Fair Value)............................................................................. 4.25 Detailed Discussion of the Black-Scholes Formula for European Call Options II (Dependence on Volatility).......... 406 4.26 Detailed Discussion of
the Black-Scholes Formula for European Call Options III (Dependence on Risk-Free Interest Rate).................................................................................... 4.27 Some Brief Remarks on the Use of the Black-Scholes Formula and Its Parameters r and σ..................................... 413 4.28 Program and Test: Valuation of Derivatives by Approximation Using an N-Step Binomial Model Where Volatility Is Correlated with the Price of the Underlying Asset.......................... 4.29 Break-Even for Call-Only Strategies........ ’..................................... 4.30 Analysis of the Black-Scholes Price of Put Options....................... 4.31 Break-Even for Put-Only Strategies............................................... 4.32 Analysis of the Price Paths of a Few Other Basic Option Strategies: Short Iron Butterfly........................................................ .՝ 4.33 Analysis of the Price Curves of a Few Other Basic Option Strategies: Naked Short Butterfly......................................... 445 4.34 Excursus: Brief Remark on the “Asymmetry of Call and Put Prices”................................................................................... 449 4.35 Analysis of the Price Curves of a Few Other Basic Option Strategies: Simple Time Spreads.......................................... 456 4.36 The Greeks...................................................................................... 4.37 The Greeks for Call Options and Put Options................................ 4.38 Graphical Illustration of the Greeks of Call
Options...................... 4.39 Graphical Illustration of the Greeks of Put Options........................ 340 347 359 371 382 383 387 397 410 416 419 426 433 439 461 463 464 475
Contents 4.40 Delta and Gamma: Analysis of a Put Bull Spread.......................... 4.41 Test Simulations of Exit Strategies for Bull Put Spread Combinations....................................................................... 496 4.42 Delta/Gamma Hedging.................................................................... 4.43 Delta/Gamma Hedging: A Realistic Example.................................. References.................................................................................................. xix 479 501 504 516
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| adam_txt |
Contents 1 Basic Products and Interest Calculations. 1.1 Basic Properties of Bonds. 1.2 Example of a Bond. 1.3 Issuance of a Bond and Initial Issue Price. 1.4 Chart of the Bond and Factors Influencing Price Developments . 1.5 Discrete and Continuous Interest Compounding. 1.6 Continuous Compounding at a Time-Varying Interest Rate. 1.7 Euribor, Libor, Swap Rates, and Key Interest Rates. 1.8 Two Comments Regarding Loans: Calculation of Continuously Redeemable Loan Instalments as Well as Foreign Currency Loans and Interest Rate Parity Theory. 1.9 Bond Yields. 1.10 Forward Interest Rates. 1.11 The Fair Value of a Future Payment, Discounting. 1.12 The Fair Value of a Bond. 1.13 Some Examples of Junk Bonds. 1.14 Stock (Basics). 1.15 Stock Market Dynamics. 1.16 Stock Indices. 1.17 Trading in Indices Through
Index Certificates. 1.18 The ShortDAX and Index Certificates on the ShortDAX. 1.19 The S P500 Index. 1.20 The S P500 on the Black Monday of 19 October 1987 . 1.21 11 September 2001 . 1.22 The S P500 Index Around 10 October 2008, Overnight Gaps. 1.23 The “Flash Crash” on 6 May 2010. 1.24 Price Forecasting and Run Analyses of Stock Prices and Index Prices. 1.25 Notes on a Simple Trading Strategy by Signals Using Exponential Moving Averages. 85 1 3 4 7 8 10 19 22 28 34 39 43 45 48 50 54 58 63 63 66 72 74 76 77 79 XV
xvi Contents Derivatives and Trading in Derivatives, Basic Concepts and Strategies. 91 2.1 What Is a Derivative?. 2.2 European Plain-Vanilla Options, Definition and Basic Characteristics. 92 2.3 American Options. 2.4 Any Strategy Is Better than No Strategy and “The Secretary Problem”. 105 2.5 How Do You Trade Options? Trading Through a Bank. 2.6 How Do You Trade Options? Trading Through an Electronic Trading Platform. 117 2.7 Who Trades in Options? Long Positions in Call Options, Leverage. 124 2.8 Who Trades in Options? Long Positions in Put Options, Protective Put. 130 2.9 Who Trades in Options? Short Positions in Put Options, Selling Insurance, Put Spreads. 138 2.10 Who Trades in Options? Short Positions in Call Options, Covered Call Strategies. 140 2.11 Discount
Certificates. 2.12 Who Trades in Options? Long Straddle,Short Straddle. 2.13 Relationship Between the Payoffs of Puts, Calls, and Underlying Asset. 152 2.14 More Option Combinations. 2.15 Margin Rules for Short Positions in (СВОЕ S P500)Options. 2.16 CBOE-Traded Options on the S P500 Index, Market-Maker System, Settlement of SPX Options. 165 2.17 Futures, Basic Characteristics, Trading, Margin. 2.18 Long and Short Trades of Underlying Assets with Futures. 2.19 The “Euro-Bund Future”. 2.20 More Comments on Futures Contracts (Rolling, Futures Options, Forwards). 181 References. 2 3 Basics of Derivative Valuation . 3.1 Frictionless Markets and the No-Arbitrage Principle. 3.2 Application of the NA Principle: Put-Call Parity Equation. 3.3 Simple Conclusions from the Put-Call Parity Equation . 3.4 Another Application of the NA Principle: The “Fair” Strike Price of a Futures Contract (on a Dividend-Free/Cost-Free Underlying
Asset). 3.5 Valuation of Futures for Underlying Assets with Payouts or Costs. 212 3.6 The Put-Call Parity Equation for Underlying Assets with Payouts or Costs. 216 92 101 113 142 145 155 160 167 172 177 187 189 190 196 203 208
Contents 3.7 3.8 Basies of Derivative Valuation and Pricing Models. The One-Step Binomial Model and Derivative Valuation in the One-Step Binomial Model: Part 1. 222 3.9 The One-Step Binomial Model and Derivative Valuation in the One-Step Binomial Model: Part II. 227 3.10 Derivative Valuation in the One-Step Binomial Model: Discussion of Outcomes. 233 3.11 A Brief Excursus on the Degree of Luck and Skill in Games. 3.12 Fair Price of Derivatives in the Binomial Model on Underlying Assets with Payouts/Costs. 3.13 The Two-step Binomial Model. 3.14 Derivative Valuation in the Two-Step Binomial Model: Discussion of Results. 255 3.15 Hedging and Arbitrage in the Two-Step Binomial Model. 3.16 Numerical Example of How to Value and Hedge Derivatives and Execute Arbitrage Trades in a Two-Step Binomial Model. 3.17 Derivative Valuation in the N-Step Binomial Model. 3.18 Comments on the Valuation of Derivatives in the N-Step Binomial Model and an Example. 268 3.19 Derivative Valuation in the N-Step Binomial Model on Underlying Assets with Payouts or Costs. 271
Reference. 4 xvii 219 246 250 251 257 258 262 272 The Wiener Stock Price Model and the Basic Principles of Black-Scholes Theory. 273 4.1 Basic Tools for Analysing Real Stock Prices: Trend, Volatility, Distribution of Returns, Skewness, and Kurtosis. 274 4.2 Basic Tools for Analysing Real Stock Prices: Covariances and Correlations. 292 4.3 Basic Tools for Analysing Real Stock Prices: Autocorrelations of Stock Returns. 304 4.4 What Does Mathematical Modeling Mean? What Is a Stock Price Model?. 306 4.5 The Wiener Stock Price Model. 313 4.6 Simulation of Stock Prices in the Wiener Model. 316 4.7 Simulation of Two Correlated Stock Prices. 319 4.8 Simulation of Several Correlated Stock Prices. 324 4.9 Simulation of a Wiener Model for Given Initial and Final Values: The Brownian Bridge. 329 4.10 Expectations, Variances, and Probability Distributions of Stock Prices in the Wiener Model. 332 4.11 Approximation of the Wiener Model Through Binomial Models: Preliminary
Remarks. 338 4.12 Approximation of the Wiener Model Through Binomial Models: Preparation. 338
xviii Contents 4.13 The Central Limit Theorem. 4.14 Approximation of the Wiener Model Through Binomial Models: The Proof (Sketch of Proof). 345 4.15 The Brownian Motion, Motivation, and Definition. 4.16 The Brownian Motion: Basic Properties . 4.17 The Wiener Model as a Geometric Brownian Motion and the Brownian Motion with Drift. 371 4.18 The Black-Scholes Formula in the Wiener Model. 4.19 The Fair Price of a European Call Option and a European Put Option in the Wiener Model . 379 4.20 A (Very) Short History of the Black-Scholes Formula. 4.21 Perfect Hedging in the Black-Scholes Model. 4.22 Another Example of the Application of the Black-Scholes Formula and of Perfect Hedging as Well as Its Implementation in Discrete Hedging. 4.23 Discretely Approximated Perfect Hedging for European Derivatives, Especially for European Call and Put Options. 393 4.24 Detailed Discussion of the Black-Scholes Formula for European Call Options I (Dependence on S and i, Intrinsic Value, Fair Value). 4.25 Detailed Discussion of the Black-Scholes Formula for European Call Options II (Dependence on Volatility). 406 4.26 Detailed Discussion of
the Black-Scholes Formula for European Call Options III (Dependence on Risk-Free Interest Rate). 4.27 Some Brief Remarks on the Use of the Black-Scholes Formula and Its Parameters r and σ. 413 4.28 Program and Test: Valuation of Derivatives by Approximation Using an N-Step Binomial Model Where Volatility Is Correlated with the Price of the Underlying Asset. 4.29 Break-Even for Call-Only Strategies. ’. 4.30 Analysis of the Black-Scholes Price of Put Options. 4.31 Break-Even for Put-Only Strategies. 4.32 Analysis of the Price Paths of a Few Other Basic Option Strategies: Short Iron Butterfly. .՝ 4.33 Analysis of the Price Curves of a Few Other Basic Option Strategies: Naked Short Butterfly. 445 4.34 Excursus: Brief Remark on the “Asymmetry of Call and Put Prices”. 449 4.35 Analysis of the Price Curves of a Few Other Basic Option Strategies: Simple Time Spreads. 456 4.36 The Greeks. 4.37 The Greeks for Call Options and Put Options. 4.38 Graphical Illustration of the Greeks of Call
Options. 4.39 Graphical Illustration of the Greeks of Put Options. 340 347 359 371 382 383 387 397 410 416 419 426 433 439 461 463 464 475
Contents 4.40 Delta and Gamma: Analysis of a Put Bull Spread. 4.41 Test Simulations of Exit Strategies for Bull Put Spread Combinations. 496 4.42 Delta/Gamma Hedging. 4.43 Delta/Gamma Hedging: A Realistic Example. References. xix 479 501 504 516 |
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| spelling | Larcher, Gerhard 1960- Verfasser (DE-588)1028526660 aut The art of quantitative finance Vol. 1 Trading, derivatives and basic concepts Gerhard Larcher Cham Springer [2023] xix, 516 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier (DE-604)BV048910994 1 Erscheint auch als Online-Ausgabe 978-3-031-23873-4 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=034175209&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Larcher, Gerhard 1960- The art of quantitative finance |
| title | The art of quantitative finance |
| title_auth | The art of quantitative finance |
| title_exact_search | The art of quantitative finance |
| title_exact_search_txtP | The art of quantitative finance |
| title_full | The art of quantitative finance Vol. 1 Trading, derivatives and basic concepts Gerhard Larcher |
| title_fullStr | The art of quantitative finance Vol. 1 Trading, derivatives and basic concepts Gerhard Larcher |
| title_full_unstemmed | The art of quantitative finance Vol. 1 Trading, derivatives and basic concepts Gerhard Larcher |
| title_short | The art of quantitative finance |
| title_sort | the art of quantitative finance trading derivatives and basic concepts |
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