Mathematics of the Financial Markets – Financial Instruments and Derivatives Modeling, Valuation and Risk Issues

<p>Foreword by A.G. MALLIARIS, Loyola University, Chicago xi</p>
<p>Main Notations xiii</p>
<p>Introduction xv</p>
<p>PART I THE DETERMINISTIC ENVIRONMENT</p>
<p>1 Prior to the Yield Curve: Spot and Forward Rates 3</p>
<p>2 The Term Structure or Yield Curve 13</p>
<p>3 Spot Instruments 23</p>
<p>4 Equities and Stock Indexes 47</p>
<p>5 Forward Instruments 75</p>
<p>6 Swaps 91</p>
<p>7 Futures 119</p>
<p>PART II THE PROBABILISTIC ENVIRONMENT</p>
<p>8 The Basis of Stochastic Calculus 147</p>
<p>9 Other Financial Models: From ARMA to the GARCH Family 165</p>
<p>10 Option Pricing in General 175</p>
<p>11 Options on Specific Underlyings and Exotic Options 209</p>
<p>12 Volatility and Volatility Derivatives 237</p>
<p>13 Credit Derivatives 257</p>
<p>14 Market Performance and Risk Measures 275</p>
<p>15 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303</p>
<p>Bibliography 319</p>
<p>Index 323</p>