A technical guide to mathematical finance:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boca Raton, FL
CRC Press
2024
|
| Edition: | First edition |
| Series: | A Chapman & Hall book
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 184 Seiten Diagramme |
| ISBN: | 9781032687230 9781032685960 |
Staff View
MARC
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Record in the Search Index
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Contents Table of Figures, x Table of Concept Refreshers, xii Acknowledgments, xiii SECTION 1 1.1 ■ 1 Introduction 4 NOTATION AND FORMATTING 7 NOTES SECTION 2 . Basics 2.1 TIME VALUE OF MONEY 2.2 CONTINUOUS VS. DISCRETE COMPOUNDING 9 11 16 NOTES SECTION 3 9 . Fixed Income 17 3.1 OPPORTUNITY COST OF CAPITAL 20 3.2 CORDON GROWTH MODEL 22 3.3 3.2.1 Perpetuity 3.2.2 Annuity SENSITIVITY 28 28 29 3.3.1 Duration 31 3.3.2 Convexity 38 NOTES 40 vii
viii ■ Contents Sictio\ 4 . Time Series Processes 42 4.1 DETERMINISTIC PROCESSES 44 4.2 STOCHASTIC PROCESSES 44 4.2.1 Random Walk 47 4.2.2 Wiener Process 53 4.2.3 Ito Process 56 4.2.4 Geometric Brownian Motion NOTES 59 61 SECTION 5 Derivative Pricing iC 5.1 NO ARBITRAGE AND RISK-NEUTRAL PROBABILITIES 63 5.2 BLACK-SCHOLES-MERTON DIFFERENTIAL EQUATION 69 5.3 THE BLACK-SCHOLES-MERTON PRICING FORMULA 76 5.3.1 Risk-Neutral World 5.3.2 Binomial Tree SECTION 6 Modern Portfolio Theory CAPM 6.1 6.2 86 106 NOTES 108 LINEAR REGRESSION 109 6.1.1 Method of Moments 110 6.1.2 Sum of Squared Residuals MODERN PORTFOLIO THEORY 113 119 6.2.1 Primer on Risk Proxies 119 6.2.2 Portfolio Context 125 6.2.3 Capital Market Line 130 6.2.4 Capital Asset Pricing Model 136 NOTES 142
Contents ■ ix Section 7 ■ Uncertainty Value I I I 7.1 JENSON'S INEQUALITY 146 7.2 TIME-DECLINING DISCOUNT RATE 149 NOTES Sotion 8 . Capital Structure Irrelevance 8.1 CAPITAL BUDGETING NOTES Section 9 . Probability of Default 9.1 HAZARD RATES NOTES SECTION 10 . Appendix 10.1 RULE OF 72 151 152 158 163 165 167 171 172 172 10.2 QUADRATIC EQUATION 174 10.3 FORWARD RATES FROM SPOT RATES 176 10.4 EXPECTED FUTURE SPOT PRICE 178 NOTES 180 REFERENCES, 181 INDEX, 183 |
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| isbn | 9781032687230 9781032685960 |
| language | English |
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| spelling | Zweig, Derek Verfasser aut A technical guide to mathematical finance Derek Zweig First edition Boca Raton, FL CRC Press 2024 184 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier A Chapman & Hall book Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Erscheint auch als Online-Ausgabe, ebk 978-1-032-68765-0 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=035119948&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | A technical guide to mathematical finance |
| title_auth | A technical guide to mathematical finance |
| title_exact_search | A technical guide to mathematical finance |
| title_full | A technical guide to mathematical finance Derek Zweig |
| title_fullStr | A technical guide to mathematical finance Derek Zweig |
| title_full_unstemmed | A technical guide to mathematical finance Derek Zweig |
| title_short | A technical guide to mathematical finance |
| title_sort | a technical guide to mathematical finance |
| topic | Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finanzmathematik Lehrbuch |
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