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Finance and Derivatives teaches all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technicalities. You'll pick up the most important theoretical concepts, tools and vocabulary without getting bogged down in arcane derivations or enigmatic theoretical considerations.
Sommario
Foreword.
Preface.
1 Interest Rate.
1.1 Measuring Time.
1.2 Interest Rate.
1.3 Discounting.
Exercises.
Solutions.
2 Investment Decision Criteria.
2.1 Rate of Return. Time of Return.
2.2 Net Present Value (NPV).
2.3 Internal Rate of Return (IRR).
2.4 Other Investment Criteria.
Further Reading.
Exercises.
Solutions.
3 Bonds.
3.1 Financial Markets.
3.2 Bonds.
3.3 Yields.
3.4 Zero-Coupon Yield Curve. Arbitrage Price.
Further Reading.
Exercises.
Solutions.
4 Derivatives.
4.1 Introduction.
4.2 Forward Contracts.
4.3 'Plain Vanilla' Options.
Exercises.
Solutions.
5 Portfolio Theory.
5.1 Summary of Portfolio Valuation.
5.2 Risk and Return.
5.3 Gains of Diversification. Portfolio Optimization.
5.4 Capital Asset Pricing Model.
Further Reading.
Exercises.
Solutions.
6 Binomial Model.
6.1 Introduction.
6.2 Binomial Trees.
Further Reading.
Exercises.
Solutions.
7 Lognormal Model.
7.1 Lognormal Model.
7.2 Closed-Form Formulae.
7.3 Monte Carlo Method.
Further Reading.
Exercises.
Solutions.
8 Dynamic Hedging.
8.1 Introduction.
8.2 Delta-Hedging.
8.3 Other Risk Parameters: The Greek Letters.
Further Reading.
Exercises.
Solutions.
9 Models for Asset Prices in Continuous Time.
9.1 Continuously Compounded Interest Rate.
9.2 Introduction to Models for the Behaviour of Asset Prices in Continuous Time.
9.3 Introduction to Stochastic Processes.
9.4 Introduction to Stochastic Calculus.
References and Further Reading.
Exercises.
Solutions.
10 The Black-Scholes Model.
10.1 The Black-Scholes Partial Differential Equation.
10.2 Black-Scholes Formulae.
10.3 Volatility.
References and Further Reading.
Exercises.
Solutions.
Appendix A Probability Review.
A.1 States of Nature. Random Variables. Events.
A.2 Probability. Expectation. Variance.
A.3 Distribution. Normal Distribution.
A.4 Independence. Correlation.
A.5 Probability Formulae.
A.6 Chebyshev's Inequality. Central-Limit Theorem.
Further Reading.Appendix B Calculus Review.
B.1 Functions of Two Variables x and y.
B.2 Taylor Expansions. Appendix C Finance Formulae.
C.1 Rates and Yields.
C.2 Present Value. Arbitrage Price.
C.3 Forwards and Futures.
C.4 Options.
C.5 Risk.
C.6 Stochastic Processes and Stochastic Calculus.
C.7 Greeks.
