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The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
List of contents
- I Introduction and Preliminaries
- 1: Introduction
- 2: Preliminaries
- II Forwards, Swaps and Options
- 3: Forward contracts and forward prices
- 4: Forward rates and libor
- 5: Interest rate swaps
- 6: Futures contracts
- 7: No-arbitrage principle
- 8: Options
- III Replication, risk-neutrality and the fundamental theorem
- 9: Replication and risk-neutrality on the binomial tree
- 10: Martingales, numeraires and the fundamental theorem
- 11: Continuous time limit and Black-Scholes formula
- 12: Option price and probability duality
- IV Interest Rate Options
- 13: Caps, floors and swaptions
- 14: Cancellable swaps and Bermudan swaptions
- 15: Additional topics in interest rate derivatives
- V Through Continuous Time
- 16: Rough guide to continuous time
About the author
Stephen Blyth is managing director and head of public markets at the Harvard Management Company, the subsidiary of Harvard University responsible for the management of the University's endowment. He is also Professor of the Practice of Statistics at Harvard University.
Before joining Harvard in 2006, Professor Blyth was managing director and head of the Global Rates proprietary trading group at Deutsche Bank in London, and managing director in the Interest Rate Group at Morgan Stanley in New York.
Professor Blyth is a frequent speaker at international finance conferences and has written widely on issues facing practitioners in applied quantitative finance and in derivative markets. He holds a PhD in Statistics from Harvard University and an MA in Mathematics with first class honours from Christ's College, Cambridge University, where he is a Lady Margaret Beaufort Fellow. He was formerly a Lecturer in Mathematics at Imperial College London.
Summary
The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
Additional text
In the post-crisis world his [the author] approach to old results is refreshing and ought to be a template for the future.
