Mathematics of financial markets : Financial instruments and derivatives modeling, valuation and risk issues / Alain Ruttiens

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Mathematics of financial markets : Financial instruments and derivatives modeling, valuation and risk issues / Alain Ruttiens

Book

RUTTIENS, Alain - Professeur à ESCP Europe. Author

Published by Wiley - 2013

Library: Paris Montparnasse

Source : Syracuse

Item type: Book
Language: English

Publication year: 2013

ISBN: 978-1-118-51345-3

Note

Figures

Divided into two parts, this book presents : first, the deterministic world, starting from the yield curve building and related calculations (spot rates, forward rates, discrete versus continuous compounding, etc.), and continuing with spot instruments valuation (short term rates, bonds, currencies and stocks) and forward instruments valuation (forward forex, FRAs and variants, swaps & futures) ; second, the probabilistic world, starting with the basis of stochastic calculus and the alternative approach of ARMA to GARCH, and continuing with derivative pricing : options, second generation options, volatility, credit derivatives.

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