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The Resource A first course in quantitative finance, Thomas Mazzoni

A first course in quantitative finance, Thomas Mazzoni

Label
A first course in quantitative finance
Title
A first course in quantitative finance
Statement of responsibility
Thomas Mazzoni
Creator
Subject
Language
eng
http://library.link/vocab/creatorName
Mazzoni, Thomas
Index
no index present
Literary form
non fiction
http://library.link/vocab/subjectName
Finance
Label
A first course in quantitative finance, Thomas Mazzoni
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 573-582) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • About This Book -- 2.A Primer on Probability -- 2.1.Probability and Measure -- 2.2.Filtrations and the Flow of Information -- 2.3.Conditional Probability and Independence -- 2.4.Random Variables and Stochastic Processes -- 2.5.Moments of Random Variables -- 2.6.Characteristic Function and Fourier-Transform -- 2.7.Further Reading -- 2.8.Problems -- 3.Vector Spaces -- 3.1.Real Vector Spaces -- 3.2.Dual Vector Space and Inner Product -- 3.3.Dimensionality, Basis, and Subspaces -- 3.4.Functionals and Operators -- 3.5.Adjoint and Inverse Operators -- 3.6.Eigenvalue Problems -- 3.7.Linear Algebra -- 3.8.Vector Differential Calculus -- 3.9.Multivariate Normal Distribution -- 3.10.Further Reading -- 3.11.Problems -- 4.Utility Theory -- 4.1.Lotteries -- 4.2.Preference Relations and Expected Utility -- 4.3.Risk Aversion -- 4.4.Measures of Risk Aversion -- 4.5.Certainty Equivalent and Risk Premium -- 4.6.Classes of Utility Functions
  • Note continued: 4.7.Constrained Optimization -- 4.8.Further Reading -- 4.9.Problems -- 5.Architecture of Financial Markets -- 5.1.The Arrow-Debreu-World -- 5.2.The Portfolio Selection Problem -- 5.3.Preference-Free Results -- 5.4.Pareto-Optimal Allocation and the Representative Agent -- 5.5.Market Completeness and Replicating Portfolios -- 5.6.Martingale Measures and Duality -- 5.7.Further Reading -- 5.8.Problems -- 6.Modern Portfolio Theory -- 6.1.The Gaussian Framework -- 6.2.Mean-Variance Analysis -- 6.3.The Minimum Variance Portfolio -- 6.4.Variance Efficient Portfolios -- 6.5.Optimal Portfolios and Diversification -- 6.6.Tobin&aposs Separation Theorem and the Market Portfolio -- 6.7.Further Reading -- 6.8.Problems -- 7.CAPM and APT -- 7.1.Empirical Problems with MPT -- 7.2.The Capital Asset Pricing Model (CAPM) -- 7.3.Estimating Betas from Market Data -- 7.4.Statistical Issues of Regression Analysis and Inference -- 7.5.The Arbitrage Pricing Theory (APT)
  • Note continued: 7.6.Comparing CAPM and APT -- 7.7.Further Reading -- 7.8.Problems -- 8.Portfolio Performance and Management -- 8.1.Portfolio Performance Statistics -- 8.2.Money Management and Kelly-Criterion -- 8.3.Adjusting for Individual Market Views -- 8.4.Further Reading -- 8.5.Problems -- 9.Financial Econcomics -- 9.1.The Rational Valuation Principle -- 9.2.Stock Price Bubbles -- 9.3.Shiller&aposs Volatility Puzzle -- 9.4.Stochastic Discount Factor Models -- 9.5.C-CAPM and Hansen-Jagannathan-Bounds -- 9.6.The Equity Premium Puzzle -- 9.7.The Campbell-Cochrane-Model -- 9.8.Further Reading -- 9.9.Problems -- 10.Behavioral Finance -- 10.1.The Efficient Market Hypothesis -- 10.2.Beyond Rationality -- 10.3.Prospect Theory -- 10.4.Cumulative Prospect Theory (CPT) -- 10.5.CPT and the Equity Premium Puzzle -- 10.6.The Price Momentum Effect -- 10.7.Unifying CPT and Modern Portfolio Theory -- 10.8.Further Reading -- 10.9.Problems -- 11.Forwards, Futures, and Options
  • Note continued: 11.1.Forward and Future Contracts -- 11.2.Bank Account and Forward Price -- 11.3.Options -- 11.4.Compound Positions and Option Strategies -- 11.5.Arbitrage Bounds on Options -- 11.6.Further Reading -- 11.7.Problems -- 12.The Binomial Model -- 12.1.The Coin Flip Universe -- 12.2.The Multi-Period Binomial Model -- 12.3.Valuating a European Call in the Binomial Model -- 12.4.Backward Valuation and American Options -- 12.5.Stopping Times and Snell-Envelope -- 12.6.Path Dependent Options -- 12.7.The Black-Scholes-Limit of the Binomial Model -- 12.8.Further Reading -- 12.9.Problems -- 13.The Black-Scholes-Theory -- 13.1.Geometric Brownian Motion and Ito&aposs Lemma -- 13.2.The Black-Scholes-Equation -- 13.3.Dirac&aposs sigma-Function and Tempered Distributions -- 13.4.The Fundamental Solution -- 13.5.Binary and Plain Vanilla Option Prices -- 13.6.Simple Extensions of the Black-Scholes-Model -- 13.7.Discrete Dividend Payments -- 13.8.American Exercise Right
  • Note continued: 13.9.Discrete Hedging and the Greeks -- 13.10.Transaction Costs -- 13.11.Merton&aposs Firm Value Model -- 13.12.Further Reading -- 13.13.Problems -- 14.Exotics in the Black-Scholes-Model -- 14.1.Finite Difference Methods -- 14.2.Numerical Valuation and Coding -- 14.3.Weak Path Dependence and Early Exercise -- 14.4.Girsanov&aposs Theorem -- 14.5.The Feynman-Kac-Formula -- 14.6.Monte Carlo Simulation -- 14.7.Strongly Path Dependent Contracts -- 14.8.Valuating American Contracts with Monte Carlo -- 14.9.Further Reading -- 14.10.Problems -- 15.Deterministic Volatility -- 15.1.The Term Structure of Volatility -- 15.2.GARCH-Models -- 15.3.Duan&aposs Option Pricing Model -- 15.4.Local Volatility and the Dupire-Equation -- 15.5.Implied Volatility and Most Likely Path -- 15.6.Skew-Based Parametric Representation of the Volatility Surface -- 15.7.Brownian Bridge and GARCH-Parametrization -- 15.8.Further Reading -- 15.9.Problems -- 16.Stochastic Volatility
  • Note continued: 16.1.The Consequence of Stochastic Volatility -- 16.2.Characteristic Functions and the Generalized Fourier-Transform -- 16.3.The Pricing Formula in Fourier-Space -- 16.4.The Heston-Nandi GARCH-Model -- 16.5.The Heston-Model -- 16.6.Inverting the Fourier-Transform -- 16.7.Implied Volatility in the SABR-Model -- 16.8.Further Reading -- 16.9.Problems -- 17.Processes with Jumps -- 17.1.Cadlag Processes, Local-, and Semimartingales -- 17.2.Simple and Compound Poisson-Process -- 17.3.GARCH-Models with Conditional Jump Dynamics -- 17.4.Merton&aposs Jump-Diffusion Model -- 17.5.Barrier Options and the Reflection Principle -- 17.6.Levy-Processes -- 17.7.Subordination of Brownian motion -- 17.8.The Esscher-Transform -- 17.9.Combining Jumps and Stochastic Volatility -- 17.10.Further Reading -- 17.11.Problems -- 18.Basic Fixed-Income Instruments -- 18.1.Bonds and Forward Rate Agreements -- 18.2.LIBOR and Floating Rate Notes
  • Note continued: 18.3.Day-Count Conventions and Accrued Interest -- 18.4.Yield Measures and Yield Curve Construction -- 18.5.Duration and Convexity -- 18.6.Forward Curve and Bootstrapping -- 18.7.Interest Rate Swaps -- 18.8.Further Reading -- 18.9.Problems -- 19.Plain Vanilla Fixed-Income Derivatives -- 19.1.The T-Forward Measure -- 19.2.The Black-76-Model -- 19.3.Caps and Floors -- 19.4.Swaptions and the Annuity Measure -- 19.5.Eurodollar Futures -- 19.6.Further Reading -- 19.7.Problems -- 20.Term Structure Models -- 20.1.A Term Structure Toy Model -- 20.2.Yield Curve Fitting -- 20.3.Mean Reversion and the Vasicek-Model -- 20.4.Bond Option Pricing and the Jamshidian-Decomposition -- 20.5.Affine Term Structure Models -- 20.6.The Heath-Jarrow-Morton-Framework -- 20.7.Multi-Factor HJM and Historical Volatility -- 20.8.Further Reading -- 20.9.Problems -- 21.The LIBOR Market Model -- 21.1.The Transition from HJM to Market Models -- 21.2.The Change-of-Numeraire Toolkit -- 21.3.Calibration to Caplet Volatilities -- 21.4.Parametric Correlation Matrices -- 21.5.Calibrating Correlations and the Swap Market Model -- 21.6.Pricing Exotics in the LMM -- 21.7.Further Reading -- 21.8.Problems -- A.1.Introduction to Complex Numbers -- A.2.Complex Functions and Derivatives -- A.3.Complex Integration -- A.4.The Residue Theorem
Control code
ocn992309135
Dimensions
25 cm
Extent
x, 588 pages
Isbn
9781108419574
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations (black and white)
System control number
(OCoLC)992309135
Label
A first course in quantitative finance, Thomas Mazzoni
Publication
Bibliography note
Includes bibliographical references (pages 573-582) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • About This Book -- 2.A Primer on Probability -- 2.1.Probability and Measure -- 2.2.Filtrations and the Flow of Information -- 2.3.Conditional Probability and Independence -- 2.4.Random Variables and Stochastic Processes -- 2.5.Moments of Random Variables -- 2.6.Characteristic Function and Fourier-Transform -- 2.7.Further Reading -- 2.8.Problems -- 3.Vector Spaces -- 3.1.Real Vector Spaces -- 3.2.Dual Vector Space and Inner Product -- 3.3.Dimensionality, Basis, and Subspaces -- 3.4.Functionals and Operators -- 3.5.Adjoint and Inverse Operators -- 3.6.Eigenvalue Problems -- 3.7.Linear Algebra -- 3.8.Vector Differential Calculus -- 3.9.Multivariate Normal Distribution -- 3.10.Further Reading -- 3.11.Problems -- 4.Utility Theory -- 4.1.Lotteries -- 4.2.Preference Relations and Expected Utility -- 4.3.Risk Aversion -- 4.4.Measures of Risk Aversion -- 4.5.Certainty Equivalent and Risk Premium -- 4.6.Classes of Utility Functions
  • Note continued: 4.7.Constrained Optimization -- 4.8.Further Reading -- 4.9.Problems -- 5.Architecture of Financial Markets -- 5.1.The Arrow-Debreu-World -- 5.2.The Portfolio Selection Problem -- 5.3.Preference-Free Results -- 5.4.Pareto-Optimal Allocation and the Representative Agent -- 5.5.Market Completeness and Replicating Portfolios -- 5.6.Martingale Measures and Duality -- 5.7.Further Reading -- 5.8.Problems -- 6.Modern Portfolio Theory -- 6.1.The Gaussian Framework -- 6.2.Mean-Variance Analysis -- 6.3.The Minimum Variance Portfolio -- 6.4.Variance Efficient Portfolios -- 6.5.Optimal Portfolios and Diversification -- 6.6.Tobin&aposs Separation Theorem and the Market Portfolio -- 6.7.Further Reading -- 6.8.Problems -- 7.CAPM and APT -- 7.1.Empirical Problems with MPT -- 7.2.The Capital Asset Pricing Model (CAPM) -- 7.3.Estimating Betas from Market Data -- 7.4.Statistical Issues of Regression Analysis and Inference -- 7.5.The Arbitrage Pricing Theory (APT)
  • Note continued: 7.6.Comparing CAPM and APT -- 7.7.Further Reading -- 7.8.Problems -- 8.Portfolio Performance and Management -- 8.1.Portfolio Performance Statistics -- 8.2.Money Management and Kelly-Criterion -- 8.3.Adjusting for Individual Market Views -- 8.4.Further Reading -- 8.5.Problems -- 9.Financial Econcomics -- 9.1.The Rational Valuation Principle -- 9.2.Stock Price Bubbles -- 9.3.Shiller&aposs Volatility Puzzle -- 9.4.Stochastic Discount Factor Models -- 9.5.C-CAPM and Hansen-Jagannathan-Bounds -- 9.6.The Equity Premium Puzzle -- 9.7.The Campbell-Cochrane-Model -- 9.8.Further Reading -- 9.9.Problems -- 10.Behavioral Finance -- 10.1.The Efficient Market Hypothesis -- 10.2.Beyond Rationality -- 10.3.Prospect Theory -- 10.4.Cumulative Prospect Theory (CPT) -- 10.5.CPT and the Equity Premium Puzzle -- 10.6.The Price Momentum Effect -- 10.7.Unifying CPT and Modern Portfolio Theory -- 10.8.Further Reading -- 10.9.Problems -- 11.Forwards, Futures, and Options
  • Note continued: 11.1.Forward and Future Contracts -- 11.2.Bank Account and Forward Price -- 11.3.Options -- 11.4.Compound Positions and Option Strategies -- 11.5.Arbitrage Bounds on Options -- 11.6.Further Reading -- 11.7.Problems -- 12.The Binomial Model -- 12.1.The Coin Flip Universe -- 12.2.The Multi-Period Binomial Model -- 12.3.Valuating a European Call in the Binomial Model -- 12.4.Backward Valuation and American Options -- 12.5.Stopping Times and Snell-Envelope -- 12.6.Path Dependent Options -- 12.7.The Black-Scholes-Limit of the Binomial Model -- 12.8.Further Reading -- 12.9.Problems -- 13.The Black-Scholes-Theory -- 13.1.Geometric Brownian Motion and Ito&aposs Lemma -- 13.2.The Black-Scholes-Equation -- 13.3.Dirac&aposs sigma-Function and Tempered Distributions -- 13.4.The Fundamental Solution -- 13.5.Binary and Plain Vanilla Option Prices -- 13.6.Simple Extensions of the Black-Scholes-Model -- 13.7.Discrete Dividend Payments -- 13.8.American Exercise Right
  • Note continued: 13.9.Discrete Hedging and the Greeks -- 13.10.Transaction Costs -- 13.11.Merton&aposs Firm Value Model -- 13.12.Further Reading -- 13.13.Problems -- 14.Exotics in the Black-Scholes-Model -- 14.1.Finite Difference Methods -- 14.2.Numerical Valuation and Coding -- 14.3.Weak Path Dependence and Early Exercise -- 14.4.Girsanov&aposs Theorem -- 14.5.The Feynman-Kac-Formula -- 14.6.Monte Carlo Simulation -- 14.7.Strongly Path Dependent Contracts -- 14.8.Valuating American Contracts with Monte Carlo -- 14.9.Further Reading -- 14.10.Problems -- 15.Deterministic Volatility -- 15.1.The Term Structure of Volatility -- 15.2.GARCH-Models -- 15.3.Duan&aposs Option Pricing Model -- 15.4.Local Volatility and the Dupire-Equation -- 15.5.Implied Volatility and Most Likely Path -- 15.6.Skew-Based Parametric Representation of the Volatility Surface -- 15.7.Brownian Bridge and GARCH-Parametrization -- 15.8.Further Reading -- 15.9.Problems -- 16.Stochastic Volatility
  • Note continued: 16.1.The Consequence of Stochastic Volatility -- 16.2.Characteristic Functions and the Generalized Fourier-Transform -- 16.3.The Pricing Formula in Fourier-Space -- 16.4.The Heston-Nandi GARCH-Model -- 16.5.The Heston-Model -- 16.6.Inverting the Fourier-Transform -- 16.7.Implied Volatility in the SABR-Model -- 16.8.Further Reading -- 16.9.Problems -- 17.Processes with Jumps -- 17.1.Cadlag Processes, Local-, and Semimartingales -- 17.2.Simple and Compound Poisson-Process -- 17.3.GARCH-Models with Conditional Jump Dynamics -- 17.4.Merton&aposs Jump-Diffusion Model -- 17.5.Barrier Options and the Reflection Principle -- 17.6.Levy-Processes -- 17.7.Subordination of Brownian motion -- 17.8.The Esscher-Transform -- 17.9.Combining Jumps and Stochastic Volatility -- 17.10.Further Reading -- 17.11.Problems -- 18.Basic Fixed-Income Instruments -- 18.1.Bonds and Forward Rate Agreements -- 18.2.LIBOR and Floating Rate Notes
  • Note continued: 18.3.Day-Count Conventions and Accrued Interest -- 18.4.Yield Measures and Yield Curve Construction -- 18.5.Duration and Convexity -- 18.6.Forward Curve and Bootstrapping -- 18.7.Interest Rate Swaps -- 18.8.Further Reading -- 18.9.Problems -- 19.Plain Vanilla Fixed-Income Derivatives -- 19.1.The T-Forward Measure -- 19.2.The Black-76-Model -- 19.3.Caps and Floors -- 19.4.Swaptions and the Annuity Measure -- 19.5.Eurodollar Futures -- 19.6.Further Reading -- 19.7.Problems -- 20.Term Structure Models -- 20.1.A Term Structure Toy Model -- 20.2.Yield Curve Fitting -- 20.3.Mean Reversion and the Vasicek-Model -- 20.4.Bond Option Pricing and the Jamshidian-Decomposition -- 20.5.Affine Term Structure Models -- 20.6.The Heath-Jarrow-Morton-Framework -- 20.7.Multi-Factor HJM and Historical Volatility -- 20.8.Further Reading -- 20.9.Problems -- 21.The LIBOR Market Model -- 21.1.The Transition from HJM to Market Models -- 21.2.The Change-of-Numeraire Toolkit -- 21.3.Calibration to Caplet Volatilities -- 21.4.Parametric Correlation Matrices -- 21.5.Calibrating Correlations and the Swap Market Model -- 21.6.Pricing Exotics in the LMM -- 21.7.Further Reading -- 21.8.Problems -- A.1.Introduction to Complex Numbers -- A.2.Complex Functions and Derivatives -- A.3.Complex Integration -- A.4.The Residue Theorem
Control code
ocn992309135
Dimensions
25 cm
Extent
x, 588 pages
Isbn
9781108419574
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations (black and white)
System control number
(OCoLC)992309135

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