Coverart for item
The Resource Mathematics of the Financial Markets : Financial Instruments and Derivatives Modelling, Valuation and Risk Issues

Mathematics of the Financial Markets : Financial Instruments and Derivatives Modelling, Valuation and Risk Issues

Label
Mathematics of the Financial Markets : Financial Instruments and Derivatives Modelling, Valuation and Risk Issues
Title
Mathematics of the Financial Markets
Title remainder
Financial Instruments and Derivatives Modelling, Valuation and Risk Issues
Creator
Subject
Language
eng
Summary
The book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjective way, relying upon more than twenty years of experience as a market practitioner. The book only requires the reader to be knowledgeable in the basics of algebra and statistics. The Mathematical formulae are only fully proven when the proof brings some useful insight. These formulae are tra
Member of
Cataloging source
MHW
http://library.link/vocab/creatorName
Ruttiens, Alain
Dewey number
  • 332.1/0973
  • 332.6320151
Index
no index present
LC call number
HD2346.E85
Literary form
non fiction
Nature of contents
dictionaries
Series statement
The Wiley Finance Series
http://library.link/vocab/subjectName
  • Business enterprises
  • Financial instruments
  • Money market
  • Small business
  • BUSINESS & ECONOMICS
  • Business enterprises
  • Financial instruments
  • Money market
  • Small business
  • European Union countries
  • United States
Label
Mathematics of the Financial Markets : Financial Instruments and Derivatives Modelling, Valuation and Risk Issues
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Mathematics of Financial Markets; Contents; Foreword; Main Notations; Introduction; Part I The Deterministic Environment; 1 Prior to the yield curve: spot and forward rates; 1.1 INTEREST RATES, PRESENT AND FUTURE VALUES, INTEREST COMPOUNDING; 1.1.1 Counting the number of days; 1.2 DISCOUNT FACTORS; 1.3 CONTINUOUS COMPOUNDING AND CONTINUOUS RATES; 1.4 FORWARD RATES; 1.4.1 Generalization: forwards and discount factors; 1.5 THE NO ARBITRAGE CONDITION; FURTHER READING; 2 The term structure or yield curve; 2.1 INTRODUCTION TO THE YIELD CURVE; 2.2 THE YIELD CURVE COMPONENTS
  • 2.2.1 The money market side2.2.2 Capital market side: the case of the risk-free yield curve; 2.2.3 Capital market side: the case of the swap yield curve; 2.3 BUILDING A YIELD CURVE: METHODOLOGY; 2.4 AN EXAMPLE OF YIELD CURVE POINTS DETERMINATION; 2.5 INTERPOLATIONS ON A YIELD CURVE; FURTHER READING; 3 Spot instruments; 3.1 SHORT-TERM RATES; 3.2 BONDS; 3.2.1 Bond pricing; 3.2.2 Duration; 3.2.3 Convexity; 3.3 CURRENCIES; 3.3.1 Introduction to the currencies spot market; 3.3.2 Spot quotations; FURTHER READING; 4 Equities and stock indexes; 4.1 STOCKS VALUATION
  • 4.1.1 Discounted cash flows (DCF) method4.1.2 The Gordon-Shapiro method; 4.1.3 The case of stocks not distributing dividends; 4.1.4 The real option method; 4.1.5 The book value method; 4.2 STOCK INDEXES; 4.3 THE PORTFOLIO THEORY; 4.3.1 Introduction to the Portfolio Theory; 4.3.2 Risk and return measures; 4.3.3 The Markowitz model; 4.3.4 Sharpe's CAPM; 4.3.5 The APT model (Roll and Ross); 4.3.6 CAPM versus APT; 4.3.7 The four-moments CAPM; FURTHER READING; 5 Forward instruments; 5.1 THE FORWARD FOREIGN EXCHANGE; 5.1.1 Forward exchange operations; 5.1.2 Forex (or FX) swaps
  • 5.1.3 Forward forex swaps or forward-forward transactions5.1.4 The NDF market; 5.2 FRAs; 5.2.1 Principle and calculation; 5.2.2 Example of application; 5.3 OTHER FORWARD CONTRACTS; 5.3.1 Forward contracts on equities; 5.3.2 Forward contracts on bonds; 5.4 CONTRACTS FOR DIFFERENCE (CFD); FURTHER READING; 6 Swaps; 6.1 DEFINITIONS AND FIRST EXAMPLES; 6.1.1 A first example of an IRS, on a debt (data from February 2002); 6.1.2 An example of CRS liability swap (data from February 2002); 6.1.3 Unwinding a swap; 6.2 PRIOR TO AN IRS SWAP PRICING METHOD; 6.3 PRICING OF AN IRS SWAP
  • 6.4 (RE)VALUATION OF AN IRS SWAP6.5 THE SWAP (RATES) MARKET; 6.6 PRICING OF A CRS SWAP; 6.7 PRICING OF SECOND-GENERATION SWAPS; 6.7.1 Zero-coupon swap; 6.7.2 EONIA and other basis swap; 6.7.3 In-arrear swap; 6.7.4 Constant maturity swap; 6.7.5 Quanto or diff swap; 6.7.6 Swapping other types of cash flows: performance swaps; FURTHER READING; 7 Futures; 7.1 INTRODUCTION TO FUTURES; 7.1.1 Margining system; 7.1.2 Settlement of the future contract at maturity; 7.2 FUTURES PRICING; 7.2.1 Theoretical price of a future; 7.2.2 Theoretical versus market future price; 7.2.3 The implied repo rate (IRR)
Control code
841910821
Dimensions
unknown
Extent
1 online resource (351 pages).
Form of item
online
Isbn
9781118513484
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Publisher number
EB00063790
Specific material designation
remote
System control number
(OCoLC)841910821
Label
Mathematics of the Financial Markets : Financial Instruments and Derivatives Modelling, Valuation and Risk Issues
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Mathematics of Financial Markets; Contents; Foreword; Main Notations; Introduction; Part I The Deterministic Environment; 1 Prior to the yield curve: spot and forward rates; 1.1 INTEREST RATES, PRESENT AND FUTURE VALUES, INTEREST COMPOUNDING; 1.1.1 Counting the number of days; 1.2 DISCOUNT FACTORS; 1.3 CONTINUOUS COMPOUNDING AND CONTINUOUS RATES; 1.4 FORWARD RATES; 1.4.1 Generalization: forwards and discount factors; 1.5 THE NO ARBITRAGE CONDITION; FURTHER READING; 2 The term structure or yield curve; 2.1 INTRODUCTION TO THE YIELD CURVE; 2.2 THE YIELD CURVE COMPONENTS
  • 2.2.1 The money market side2.2.2 Capital market side: the case of the risk-free yield curve; 2.2.3 Capital market side: the case of the swap yield curve; 2.3 BUILDING A YIELD CURVE: METHODOLOGY; 2.4 AN EXAMPLE OF YIELD CURVE POINTS DETERMINATION; 2.5 INTERPOLATIONS ON A YIELD CURVE; FURTHER READING; 3 Spot instruments; 3.1 SHORT-TERM RATES; 3.2 BONDS; 3.2.1 Bond pricing; 3.2.2 Duration; 3.2.3 Convexity; 3.3 CURRENCIES; 3.3.1 Introduction to the currencies spot market; 3.3.2 Spot quotations; FURTHER READING; 4 Equities and stock indexes; 4.1 STOCKS VALUATION
  • 4.1.1 Discounted cash flows (DCF) method4.1.2 The Gordon-Shapiro method; 4.1.3 The case of stocks not distributing dividends; 4.1.4 The real option method; 4.1.5 The book value method; 4.2 STOCK INDEXES; 4.3 THE PORTFOLIO THEORY; 4.3.1 Introduction to the Portfolio Theory; 4.3.2 Risk and return measures; 4.3.3 The Markowitz model; 4.3.4 Sharpe's CAPM; 4.3.5 The APT model (Roll and Ross); 4.3.6 CAPM versus APT; 4.3.7 The four-moments CAPM; FURTHER READING; 5 Forward instruments; 5.1 THE FORWARD FOREIGN EXCHANGE; 5.1.1 Forward exchange operations; 5.1.2 Forex (or FX) swaps
  • 5.1.3 Forward forex swaps or forward-forward transactions5.1.4 The NDF market; 5.2 FRAs; 5.2.1 Principle and calculation; 5.2.2 Example of application; 5.3 OTHER FORWARD CONTRACTS; 5.3.1 Forward contracts on equities; 5.3.2 Forward contracts on bonds; 5.4 CONTRACTS FOR DIFFERENCE (CFD); FURTHER READING; 6 Swaps; 6.1 DEFINITIONS AND FIRST EXAMPLES; 6.1.1 A first example of an IRS, on a debt (data from February 2002); 6.1.2 An example of CRS liability swap (data from February 2002); 6.1.3 Unwinding a swap; 6.2 PRIOR TO AN IRS SWAP PRICING METHOD; 6.3 PRICING OF AN IRS SWAP
  • 6.4 (RE)VALUATION OF AN IRS SWAP6.5 THE SWAP (RATES) MARKET; 6.6 PRICING OF A CRS SWAP; 6.7 PRICING OF SECOND-GENERATION SWAPS; 6.7.1 Zero-coupon swap; 6.7.2 EONIA and other basis swap; 6.7.3 In-arrear swap; 6.7.4 Constant maturity swap; 6.7.5 Quanto or diff swap; 6.7.6 Swapping other types of cash flows: performance swaps; FURTHER READING; 7 Futures; 7.1 INTRODUCTION TO FUTURES; 7.1.1 Margining system; 7.1.2 Settlement of the future contract at maturity; 7.2 FUTURES PRICING; 7.2.1 Theoretical price of a future; 7.2.2 Theoretical versus market future price; 7.2.3 The implied repo rate (IRR)
Control code
841910821
Dimensions
unknown
Extent
1 online resource (351 pages).
Form of item
online
Isbn
9781118513484
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Publisher number
EB00063790
Specific material designation
remote
System control number
(OCoLC)841910821

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