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|All Authors / Contributors:||
|Description:||xvi, 333 p. : ill. ; 25 cm.|
|Contents:||Foreword by A.G. MALLIARIS, Loyola University, Chicago xi Main Notations xiii Introduction xv PART I THE DETERMINISTIC ENVIRONMENT 1 Prior to the Yield Curve: Spot and Forward Rates 3 2 The Term Structure or Yield Curve 13 3 Spot Instruments 23 4 Equities and Stock Indexes 47 5 Forward Instruments 75 6 Swaps 91 7 Futures 119 PART II THE PROBABILISTIC ENVIRONMENT 8 The Basis of Stochastic Calculus 147 9 Other Financial Models: From ARMA to the GARCH Family 165 10 Option Pricing in General 175 11 Options on Specific Underlyings and Exotic Options 209 12 Volatility and Volatility Derivatives 237 13 Credit Derivatives 257 14 Market Performance and Risk Measures 275 15 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303 Bibliography 319 Index 323|
|Series Title:||Wiley finance series.|
This title 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 20 years of experience as a market practitioner. The book only requires the reader to be knowledgeable in the basics of algebra and statistics.
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