Introduction to Quantitative Finance.:
The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinatin...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford University Press, USA,
2013.
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types, whether for general interest or because of the enormous monetary rewards on offer. An Introduction to Quantitative Finance concerns financial derivatives - a derivative being a contract between two entities whose value derives from the price of an unde. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 1306300533 9781306300537 9780191644689 0191644684 9780199666584 019966658X 9780199666591 0199666598 |
Internformat
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| 100 | 1 | |a Blyth, Stephen. | |
| 245 | 1 | 0 | |a Introduction to Quantitative Finance. |
| 264 | 1 | |b Oxford University Press, USA, |c 2013. | |
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| 520 | |a The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types, whether for general interest or because of the enormous monetary rewards on offer. An Introduction to Quantitative Finance concerns financial derivatives - a derivative being a contract between two entities whose value derives from the price of an unde. | ||
| 505 | 0 | |a Cover; Contents; PART I: PRELIMINARIES; 1 Preliminaries; 1.1 Interest rates and compounding; 1.2 Zero coupon bonds and discounting; 1.3 Annuities; 1.4 Daycount conventions; 1.5 An abridged guide to stocks, bonds and FX; 1.6 Exercises; PART II: FORWARDS, SWAPS AND OPTIONS; 2 Forward contracts and forward prices; 2.1 Derivative contracts; 2.2 Forward contracts; 2.3 Forward on asset paying no income; 2.4 Forward on asset paying known income; 2.5 Review of assumptions; 2.6 Value of forward contract; 2.7 Forward on stock paying dividends and on currency; 2.8 Physical versus cash settlement. | |
| 505 | 8 | |a 2.9 Summary2.10 Exercises; 3 Forward rates and libor; 3.1 Forward zero coupon bond prices; 3.2 Forward interest rates; 3.3 Libor; 3.4 Forward rate agreements and forward libor; 3.5 Valuing floating and flxed cashflows; 3.6 Exercises; 4 Interest rate swaps; 4.1 Swap definition; 4.2 Forward swap rate and swap value; 4.3 Spot-starting swaps; 4.4 Swaps as difference between bonds; 4.5 Exercises; 5 Futures contracts; 5.1 Futures definition; 5.2 Futures versus forward prices; 5.3 Futures on libor rates; 5.4 Exercises; 6 No-arbitrage principle; 6.1 Assumption of no-arbitrage. | |
| 505 | 8 | |a 6.2 Monotonicity theorem6.3 Arbitrage violations; 6.4 Exercises; 7 Options; 7.1 Option definitions; 7.2 Put-call parity; 7.3 Bounds on call prices; 7.4 Call and put spreads; 7.5 Butterflies and convexity of option prices; 7.6 Digital options; 7.7 Options on forward contracts; 7.8 Exercises; PART III: REPLICATION, RISK-NEUTRALITY AND THE FUNDAMENTAL THEOREM; 8 Replication and risk-neutrality on the binomial tree; 8.1 Hedging and replication in the two-state world; 8.2 Risk-neutral probabilities; 8.3 Multiple time steps; 8.4 General no-arbitrage condition; 8.5 Exercises. | |
| 505 | 8 | |a 9 Martingales, numeraires and the fundamental theorem9.1 Definition of martingales; 9.2 Numeraires and fundamental theorem; 9.3 Change of numeraire on binomial tree; 9.4 Fundamental theorem: a pragmatic example; 9.5 Fundamental theorem: summary; 9.6 Exercises; 10 Continuous-time limit and Black-Scholes formula; 10.1 Lognormal limit; 10.2 Risk-neutral limit; 10.3 Black-Scholes formula; 10.4 Properties of Black-Scholes formula; 10.5 Delta and vega; 10.6 Incorporating random interest rates; 10.7 Exercises; 11 Option price and probability duality. | |
| 505 | 8 | |a 11.1 Digitals and cumulative distribution function11.2 Butterflies and risk-neutral density; 11.3 Calls as spanning set; 11.4 Implied volatility; 11.5 Exercises; PART IV: INTEREST RATE OPTIONS; 12 Caps, floors and swaptions; 12.1 Caplets; 12.2 Caplet valuation and forward numeraire; 12.3 Swaptions and swap numeraire; 12.4 Summary; 12.5 Exercises; 13 Cancellable swaps and Bermudan swaptions; 13.1 European cancellable swaps; 13.2 Callable bonds; 13.3 Bermudan swaptions; 13.4 Bermudan swaption exercise criteria; 13.5 Bermudan cancellable swaps and callable bonds; 13.6 Exercises. | |
| 504 | |a Includes bibliographical references and index. | ||
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 0 | |a Finance |x Statistical methods. | |
| 650 | 0 | |a Business mathematics. |0 http://id.loc.gov/authorities/subjects/sh85018308 | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Finances |x Méthodes statistiques. | |
| 650 | 6 | |a Mathématiques financières. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Business mathematics |2 fast | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Finance |x Statistical methods |2 fast | |
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Datensatz im Suchindex
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| author | Blyth, Stephen |
| author_facet | Blyth, Stephen |
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| contents | Cover; Contents; PART I: PRELIMINARIES; 1 Preliminaries; 1.1 Interest rates and compounding; 1.2 Zero coupon bonds and discounting; 1.3 Annuities; 1.4 Daycount conventions; 1.5 An abridged guide to stocks, bonds and FX; 1.6 Exercises; PART II: FORWARDS, SWAPS AND OPTIONS; 2 Forward contracts and forward prices; 2.1 Derivative contracts; 2.2 Forward contracts; 2.3 Forward on asset paying no income; 2.4 Forward on asset paying known income; 2.5 Review of assumptions; 2.6 Value of forward contract; 2.7 Forward on stock paying dividends and on currency; 2.8 Physical versus cash settlement. 2.9 Summary2.10 Exercises; 3 Forward rates and libor; 3.1 Forward zero coupon bond prices; 3.2 Forward interest rates; 3.3 Libor; 3.4 Forward rate agreements and forward libor; 3.5 Valuing floating and flxed cashflows; 3.6 Exercises; 4 Interest rate swaps; 4.1 Swap definition; 4.2 Forward swap rate and swap value; 4.3 Spot-starting swaps; 4.4 Swaps as difference between bonds; 4.5 Exercises; 5 Futures contracts; 5.1 Futures definition; 5.2 Futures versus forward prices; 5.3 Futures on libor rates; 5.4 Exercises; 6 No-arbitrage principle; 6.1 Assumption of no-arbitrage. 6.2 Monotonicity theorem6.3 Arbitrage violations; 6.4 Exercises; 7 Options; 7.1 Option definitions; 7.2 Put-call parity; 7.3 Bounds on call prices; 7.4 Call and put spreads; 7.5 Butterflies and convexity of option prices; 7.6 Digital options; 7.7 Options on forward contracts; 7.8 Exercises; PART III: REPLICATION, RISK-NEUTRALITY AND THE FUNDAMENTAL THEOREM; 8 Replication and risk-neutrality on the binomial tree; 8.1 Hedging and replication in the two-state world; 8.2 Risk-neutral probabilities; 8.3 Multiple time steps; 8.4 General no-arbitrage condition; 8.5 Exercises. 9 Martingales, numeraires and the fundamental theorem9.1 Definition of martingales; 9.2 Numeraires and fundamental theorem; 9.3 Change of numeraire on binomial tree; 9.4 Fundamental theorem: a pragmatic example; 9.5 Fundamental theorem: summary; 9.6 Exercises; 10 Continuous-time limit and Black-Scholes formula; 10.1 Lognormal limit; 10.2 Risk-neutral limit; 10.3 Black-Scholes formula; 10.4 Properties of Black-Scholes formula; 10.5 Delta and vega; 10.6 Incorporating random interest rates; 10.7 Exercises; 11 Option price and probability duality. 11.1 Digitals and cumulative distribution function11.2 Butterflies and risk-neutral density; 11.3 Calls as spanning set; 11.4 Implied volatility; 11.5 Exercises; PART IV: INTEREST RATE OPTIONS; 12 Caps, floors and swaptions; 12.1 Caplets; 12.2 Caplet valuation and forward numeraire; 12.3 Swaptions and swap numeraire; 12.4 Summary; 12.5 Exercises; 13 Cancellable swaps and Bermudan swaptions; 13.1 European cancellable swaps; 13.2 Callable bonds; 13.3 Bermudan swaptions; 13.4 Bermudan swaption exercise criteria; 13.5 Bermudan cancellable swaps and callable bonds; 13.6 Exercises. |
| ctrlnum | (OCoLC)868286679 |
| dewey-full | 332.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.015195 |
| dewey-search | 332.015195 |
| dewey-sort | 3332.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn868286679 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:12Z |
| institution | BVB |
| isbn | 1306300533 9781306300537 9780191644689 0191644684 9780199666584 019966658X 9780199666591 0199666598 |
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| spelling | Blyth, Stephen. Introduction to Quantitative Finance. Oxford University Press, USA, 2013. 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier Print version record. The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types, whether for general interest or because of the enormous monetary rewards on offer. An Introduction to Quantitative Finance concerns financial derivatives - a derivative being a contract between two entities whose value derives from the price of an unde. Cover; Contents; PART I: PRELIMINARIES; 1 Preliminaries; 1.1 Interest rates and compounding; 1.2 Zero coupon bonds and discounting; 1.3 Annuities; 1.4 Daycount conventions; 1.5 An abridged guide to stocks, bonds and FX; 1.6 Exercises; PART II: FORWARDS, SWAPS AND OPTIONS; 2 Forward contracts and forward prices; 2.1 Derivative contracts; 2.2 Forward contracts; 2.3 Forward on asset paying no income; 2.4 Forward on asset paying known income; 2.5 Review of assumptions; 2.6 Value of forward contract; 2.7 Forward on stock paying dividends and on currency; 2.8 Physical versus cash settlement. 2.9 Summary2.10 Exercises; 3 Forward rates and libor; 3.1 Forward zero coupon bond prices; 3.2 Forward interest rates; 3.3 Libor; 3.4 Forward rate agreements and forward libor; 3.5 Valuing floating and flxed cashflows; 3.6 Exercises; 4 Interest rate swaps; 4.1 Swap definition; 4.2 Forward swap rate and swap value; 4.3 Spot-starting swaps; 4.4 Swaps as difference between bonds; 4.5 Exercises; 5 Futures contracts; 5.1 Futures definition; 5.2 Futures versus forward prices; 5.3 Futures on libor rates; 5.4 Exercises; 6 No-arbitrage principle; 6.1 Assumption of no-arbitrage. 6.2 Monotonicity theorem6.3 Arbitrage violations; 6.4 Exercises; 7 Options; 7.1 Option definitions; 7.2 Put-call parity; 7.3 Bounds on call prices; 7.4 Call and put spreads; 7.5 Butterflies and convexity of option prices; 7.6 Digital options; 7.7 Options on forward contracts; 7.8 Exercises; PART III: REPLICATION, RISK-NEUTRALITY AND THE FUNDAMENTAL THEOREM; 8 Replication and risk-neutrality on the binomial tree; 8.1 Hedging and replication in the two-state world; 8.2 Risk-neutral probabilities; 8.3 Multiple time steps; 8.4 General no-arbitrage condition; 8.5 Exercises. 9 Martingales, numeraires and the fundamental theorem9.1 Definition of martingales; 9.2 Numeraires and fundamental theorem; 9.3 Change of numeraire on binomial tree; 9.4 Fundamental theorem: a pragmatic example; 9.5 Fundamental theorem: summary; 9.6 Exercises; 10 Continuous-time limit and Black-Scholes formula; 10.1 Lognormal limit; 10.2 Risk-neutral limit; 10.3 Black-Scholes formula; 10.4 Properties of Black-Scholes formula; 10.5 Delta and vega; 10.6 Incorporating random interest rates; 10.7 Exercises; 11 Option price and probability duality. 11.1 Digitals and cumulative distribution function11.2 Butterflies and risk-neutral density; 11.3 Calls as spanning set; 11.4 Implied volatility; 11.5 Exercises; PART IV: INTEREST RATE OPTIONS; 12 Caps, floors and swaptions; 12.1 Caplets; 12.2 Caplet valuation and forward numeraire; 12.3 Swaptions and swap numeraire; 12.4 Summary; 12.5 Exercises; 13 Cancellable swaps and Bermudan swaptions; 13.1 European cancellable swaps; 13.2 Callable bonds; 13.3 Bermudan swaptions; 13.4 Bermudan swaption exercise criteria; 13.5 Bermudan cancellable swaps and callable bonds; 13.6 Exercises. Includes bibliographical references and index. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finance Statistical methods. Business mathematics. http://id.loc.gov/authorities/subjects/sh85018308 Finances Modèles mathématiques. Finances Méthodes statistiques. Mathématiques financières. BUSINESS & ECONOMICS Finance. bisacsh Business mathematics fast Finance Mathematical models fast Finance Statistical methods fast has work: An introduction to quantitative finance (Text) https://id.oclc.org/worldcat/entity/E39PD3MhCHPTdcTRtkHJ6mhpKd https://id.oclc.org/worldcat/ontology/hasWork Print version: 9781306300537 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=683935 Volltext |
| spellingShingle | Blyth, Stephen Introduction to Quantitative Finance. Cover; Contents; PART I: PRELIMINARIES; 1 Preliminaries; 1.1 Interest rates and compounding; 1.2 Zero coupon bonds and discounting; 1.3 Annuities; 1.4 Daycount conventions; 1.5 An abridged guide to stocks, bonds and FX; 1.6 Exercises; PART II: FORWARDS, SWAPS AND OPTIONS; 2 Forward contracts and forward prices; 2.1 Derivative contracts; 2.2 Forward contracts; 2.3 Forward on asset paying no income; 2.4 Forward on asset paying known income; 2.5 Review of assumptions; 2.6 Value of forward contract; 2.7 Forward on stock paying dividends and on currency; 2.8 Physical versus cash settlement. 2.9 Summary2.10 Exercises; 3 Forward rates and libor; 3.1 Forward zero coupon bond prices; 3.2 Forward interest rates; 3.3 Libor; 3.4 Forward rate agreements and forward libor; 3.5 Valuing floating and flxed cashflows; 3.6 Exercises; 4 Interest rate swaps; 4.1 Swap definition; 4.2 Forward swap rate and swap value; 4.3 Spot-starting swaps; 4.4 Swaps as difference between bonds; 4.5 Exercises; 5 Futures contracts; 5.1 Futures definition; 5.2 Futures versus forward prices; 5.3 Futures on libor rates; 5.4 Exercises; 6 No-arbitrage principle; 6.1 Assumption of no-arbitrage. 6.2 Monotonicity theorem6.3 Arbitrage violations; 6.4 Exercises; 7 Options; 7.1 Option definitions; 7.2 Put-call parity; 7.3 Bounds on call prices; 7.4 Call and put spreads; 7.5 Butterflies and convexity of option prices; 7.6 Digital options; 7.7 Options on forward contracts; 7.8 Exercises; PART III: REPLICATION, RISK-NEUTRALITY AND THE FUNDAMENTAL THEOREM; 8 Replication and risk-neutrality on the binomial tree; 8.1 Hedging and replication in the two-state world; 8.2 Risk-neutral probabilities; 8.3 Multiple time steps; 8.4 General no-arbitrage condition; 8.5 Exercises. 9 Martingales, numeraires and the fundamental theorem9.1 Definition of martingales; 9.2 Numeraires and fundamental theorem; 9.3 Change of numeraire on binomial tree; 9.4 Fundamental theorem: a pragmatic example; 9.5 Fundamental theorem: summary; 9.6 Exercises; 10 Continuous-time limit and Black-Scholes formula; 10.1 Lognormal limit; 10.2 Risk-neutral limit; 10.3 Black-Scholes formula; 10.4 Properties of Black-Scholes formula; 10.5 Delta and vega; 10.6 Incorporating random interest rates; 10.7 Exercises; 11 Option price and probability duality. 11.1 Digitals and cumulative distribution function11.2 Butterflies and risk-neutral density; 11.3 Calls as spanning set; 11.4 Implied volatility; 11.5 Exercises; PART IV: INTEREST RATE OPTIONS; 12 Caps, floors and swaptions; 12.1 Caplets; 12.2 Caplet valuation and forward numeraire; 12.3 Swaptions and swap numeraire; 12.4 Summary; 12.5 Exercises; 13 Cancellable swaps and Bermudan swaptions; 13.1 European cancellable swaps; 13.2 Callable bonds; 13.3 Bermudan swaptions; 13.4 Bermudan swaption exercise criteria; 13.5 Bermudan cancellable swaps and callable bonds; 13.6 Exercises. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finance Statistical methods. Business mathematics. http://id.loc.gov/authorities/subjects/sh85018308 Finances Modèles mathématiques. Finances Méthodes statistiques. Mathématiques financières. BUSINESS & ECONOMICS Finance. bisacsh Business mathematics fast Finance Mathematical models fast Finance Statistical methods fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 http://id.loc.gov/authorities/subjects/sh85018308 |
| title | Introduction to Quantitative Finance. |
| title_auth | Introduction to Quantitative Finance. |
| title_exact_search | Introduction to Quantitative Finance. |
| title_full | Introduction to Quantitative Finance. |
| title_fullStr | Introduction to Quantitative Finance. |
| title_full_unstemmed | Introduction to Quantitative Finance. |
| title_short | Introduction to Quantitative Finance. |
| title_sort | introduction to quantitative finance |
| topic | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finance Statistical methods. Business mathematics. http://id.loc.gov/authorities/subjects/sh85018308 Finances Modèles mathématiques. Finances Méthodes statistiques. Mathématiques financières. BUSINESS & ECONOMICS Finance. bisacsh Business mathematics fast Finance Mathematical models fast Finance Statistical methods fast |
| topic_facet | Finance Mathematical models. Finance Statistical methods. Business mathematics. Finances Modèles mathématiques. Finances Méthodes statistiques. Mathématiques financières. BUSINESS & ECONOMICS Finance. Business mathematics Finance Mathematical models Finance Statistical methods |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=683935 |
| work_keys_str_mv | AT blythstephen introductiontoquantitativefinance |