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Index
Cover
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 CURVE
FURTHER 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) MARKET
6.6 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 PROCESS
8.6 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 PROCESSES
9.8 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
11.8 SECOND-GENERATION OPTIONS, OR EXOTICS
FURTHER READING
Chapter 12: Volatility and volatility derivatives
12.1 PRACTICAL ISSUES ABOUT THE VOLATILITY
12.2 MODELING THE VOLATILITY
12.3 REALIZED VOLATILITY MODELS
12.4 MODELING THE CORRELATION
12.5 VOLATILITY AND VARIANCE SWAPS
FURTHER READING
Chapter 13: Credit derivatives
13.1 INTRODUCTION TO CREDIT DERIVATIVES
13.2 VALUATION OF CREDIT DERIVATIVES
13.3 CONCLUSION
FURTHER READING
Chapter 14: Market performance and risk measures
14.1 RETURN AND RISK MEASURES
14.2 VaR OR VALUE-AT-RISK
FURTHER READING
Chapter 15: Beyond the Gaussian hypothesis: potential troubles with derivatives valuation
15.1 ALTERNATIVES TO THE GAUSSIAN HYPOTHESIS
15.2 POTENTIAL TROUBLES WITH DERIVATIVES VALUATION
FURTHER READING
Bibliography
Index
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