Ruttiens, Alain (Alain H.) creator text bibliography Electronic books. enk Chichester, West Sussex Wiley 2013 monographic eng

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1 online resource (xvi, 333 pages) : illustrations. Series; Title Page; Copyright; Dedication; Foreword; Main Notations; Introduction; Part I: The Deterministic Environment; Chapter 1: Prior to the yield curve: spot and forward rates; 1.1 INTEREST RATES, PRESENT AND FUTURE VALUES, INTEREST COMPOUNDING; 1.2 DISCOUNT FACTORS; 1.3 CONTINUOUS COMPOUNDING AND CONTINUOUS RATES; 1.4 FORWARD RATES; 1.5 THE NO ARBITRAGE CONDITION; FURTHER READING; Chapter 2: The term structure or yield curve; 2.1 INTRODUCTION TO THE YIELD CURVE; 2.2 THE YIELD CURVE COMPONENTS; 2.3 BUILDING A YIELD CURVE: METHODOLOGY; 2.4 AN EXAMPLE OF YIELD CURVE POINTS DETERMINATION 2.5 INTERPOLATIONS ON A YIELD CURVEFURTHER READING; Chapter 3: Spot instruments; 3.1 SHORT-TERM RATES; 3.2 BONDS; 3.3 CURRENCIES; FURTHER READING; Chapter 4: Equities and stock indexes; 4.1 STOCKS VALUATION; 4.2 STOCK INDEXES; 4.3 THE PORTFOLIO THEORY; FURTHER READING; Chapter 5: Forward instruments; 5.1 THE FORWARD FOREIGN EXCHANGE; 5.2 FRAs; 5.3 OTHER FORWARD CONTRACTS; 5.4 CONTRACTS FOR DIFFERENCE (CFD); FURTHER READING; Chapter 6: Swaps; 6.1 DEFINITIONS AND FIRST EXAMPLES; 6.2 PRIOR TO AN IRS SWAP PRICING METHOD; 6.3 PRICING OF AN IRS SWAP; 6.4 (RE)VALUATION OF AN IRS SWAP 6.5 THE SWAP (RATES) MARKET6.6 PRICING OF A CRS SWAP; 6.7 PRICING OF SECOND-GENERATION SWAPS; FURTHER READING; Chapter 7: Futures; 7.1 INTRODUCTION TO FUTURES; 7.2 FUTURES PRICING; 7.3 FUTURES ON EQUITIES AND STOCK INDEXES; 7.4 FUTURES ON SHORT-TERM INTEREST RATES; 7.5 FUTURES ON BONDS; 7.6 FUTURES ON CURRENCIES; 7.7 FUTURES ON (NON-FINANCIAL) COMMODITIES; FURTHER READING; Part II: The Probabilistic Environment; Chapter 8: The basis of stochastic calculus; 8.1 STOCHASTIC PROCESSES; 8.2 THE STANDARD WIENER PROCESS, OR BROWNIAN MOTION; 8.3 THE GENERAL WIENER PROCESS; 8.4 THE ITÔ PROCESS 8.5 APPLICATION OF THE GENERAL WIENER PROCESS8.6 THE ITÔ LEMMA; 8.7 APPLICATION OF THE ITô LEMMA; 8.8 NOTION OF RISK NEUTRAL PROBABILITY; 8.9 NOTION OF MARTINGALE; ANNEX 8.1: PROOFS OF THE PROPERTIES OF dZ(t); ANNEX 8.2: PROOF OF THE ITÔ LEMMA; FURTHER READING; Chapter 9: Other financial models: from ARMA to the GARCH family; 9.1 THE AUTOREGRESSIVE (AR) PROCESS; 9.2 THE MOVING AVERAGE (MA) PROCESS; 9.3 THE AUTOREGRESSION MOVING AVERAGE (ARMA) PROCESS; 9.4 THE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PROCESS; 9.5 THE ARCH PROCESS; 9.6 THE GARCH PROCESS 9.7 VARIANTS OF (G)ARCH PROCESSES9.8 THE MIDAS PROCESS; FURTHER READING; Chapter 10: Option pricing in general; 10.1 INTRODUCTION TO OPTION PRICING; 10.2 THE BLACK-SCHOLES FORMULA; 10.3 FINITE DIFFERENCE METHODS: THE COX-ROSS-RUBINSTEIN (CRR) OPTION PRICING MODEL; 10.4 MONTE CARLO SIMULATIONS; 10.5 OPTION PRICING SENSITIVITIES; FURTHER READING; Chapter 11: Options on specific underlyings and exotic options; 11.1 CURRENCY OPTIONS; 11.2 OPTIONS ON BONDS; 11.3 OPTIONS ON INTEREST RATES; 11.4 EXCHANGE OPTIONS; 11.5 BASKET OPTIONS; 11.6 BERMUDAN OPTIONS; 11.7 OPTIONS ON NON-FINANCIAL UNDERLYINGS Alain Ruttiens. Includes bibliographical references (pages 319-321) and index. Finance Mathematical models Business mathematics BUSINESS & ECONOMICS Finance Business mathematics Finance Mathematical models HG106 .R88 2013 332.01/519233 Ruttiens, Alain (Alain H.). Chichester, West Sussex : Wiley, 2013 (OCoLC)817258933 1118513479 9781118513477 9781118513484 1118513487 9781118818510 1118818512 CL0500000412 Safari Books Online 3CFD55B9-7105-4775-8BB0-409E5F4DBEDA OverDrive, Inc. http://onlinelibrary.wiley.com/book/10.1002/9781118818510 http://onlinelibrary.wiley.com/book/10.1002/9781118818510 YDXCP 130429 20171106121052.0 ocn841206466 eng