LEADER 05846nam 2200781Ia 450 001 9910815366703321 005 20200520144314.0 010 $a1-118-51348-7 010 $a1-118-81851-2 010 $a1-299-46526-9 010 $a1-118-51347-9 035 $a(CKB)2550000001019424 035 $a(EBL)1166779 035 $a(SSID)ssj0000941607 035 $a(PQKBManifestationID)11498774 035 $a(PQKBTitleCode)TC0000941607 035 $a(PQKBWorkID)10963809 035 $a(PQKB)10189785 035 $a(Au-PeEL)EBL1166779 035 $a(CaPaEBR)ebr10687865 035 $a(CaONFJC)MIL477776 035 $a(PPN)170611183 035 $a(OCoLC)841206466 035 $a(FR-PaCSA)88813278 035 $a(CaSebORM)9781118513484 035 $a(MiAaPQ)EBC1166779 035 $a(EXLCZ)992550000001019424 100 $a20130411d2013 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aMathematics of the financial markets $efinancial instruments and derivatives modelling, valuation and risk issues /$fAlain Ruttiens 205 $a1st edition 210 $aNew York $cWiley$d2013 215 $a1 online resource (351 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a1-118-51345-2 320 $aIncludes bibliographical references and index. 327 $aMathematics of Financial Markets; Contents; Foreword; Main Notations; Introduction; Part I The Deterministic Environment; 1 Prior to the yield curve: spot and forward rates; 1.1 INTEREST RATES, PRESENT AND FUTURE VALUES, INTEREST COMPOUNDING; 1.1.1 Counting the number of days; 1.2 DISCOUNT FACTORS; 1.3 CONTINUOUS COMPOUNDING AND CONTINUOUS RATES; 1.4 FORWARD RATES; 1.4.1 Generalization: forwards and discount factors; 1.5 THE NO ARBITRAGE CONDITION; FURTHER READING; 2 The term structure or yield curve; 2.1 INTRODUCTION TO THE YIELD CURVE; 2.2 THE YIELD CURVE COMPONENTS 327 $a2.2.1 The money market side 2.2.2 Capital market side: the case of the risk-free yield curve; 2.2.3 Capital market side: the case of the swap yield curve; 2.3 BUILDING A YIELD CURVE: METHODOLOGY; 2.4 AN EXAMPLE OF YIELD CURVE POINTS DETERMINATION; 2.5 INTERPOLATIONS ON A YIELD CURVE; FURTHER READING; 3 Spot instruments; 3.1 SHORT-TERM RATES; 3.2 BONDS; 3.2.1 Bond pricing; 3.2.2 Duration; 3.2.3 Convexity; 3.3 CURRENCIES; 3.3.1 Introduction to the currencies spot market; 3.3.2 Spot quotations; FURTHER READING; 4 Equities and stock indexes; 4.1 STOCKS VALUATION 327 $a4.1.1 Discounted cash flows (DCF) method 4.1.2 The Gordon-Shapiro method; 4.1.3 The case of stocks not distributing dividends; 4.1.4 The real option method; 4.1.5 The book value method; 4.2 STOCK INDEXES; 4.3 THE PORTFOLIO THEORY; 4.3.1 Introduction to the Portfolio Theory; 4.3.2 Risk and return measures; 4.3.3 The Markowitz model; 4.3.4 Sharpe's CAPM; 4.3.5 The APT model (Roll and Ross); 4.3.6 CAPM versus APT; 4.3.7 The four-moments CAPM; FURTHER READING; 5 Forward instruments; 5.1 THE FORWARD FOREIGN EXCHANGE; 5.1.1 Forward exchange operations; 5.1.2 Forex (or FX) swaps 327 $a5.1.3 Forward forex swaps or forward-forward transactions 5.1.4 The NDF market; 5.2 FRAs; 5.2.1 Principle and calculation; 5.2.2 Example of application; 5.3 OTHER FORWARD CONTRACTS; 5.3.1 Forward contracts on equities; 5.3.2 Forward contracts on bonds; 5.4 CONTRACTS FOR DIFFERENCE (CFD); FURTHER READING; 6 Swaps; 6.1 DEFINITIONS AND FIRST EXAMPLES; 6.1.1 A first example of an IRS, on a debt (data from February 2002); 6.1.2 An example of CRS liability swap (data from February 2002); 6.1.3 Unwinding a swap; 6.2 PRIOR TO AN IRS SWAP PRICING METHOD; 6.3 PRICING OF AN IRS SWAP 327 $a6.4 (RE)VALUATION OF AN IRS SWAP 6.5 THE SWAP (RATES) MARKET; 6.6 PRICING OF A CRS SWAP; 6.7 PRICING OF SECOND-GENERATION SWAPS; 6.7.1 Zero-coupon swap; 6.7.2 EONIA and other basis swap; 6.7.3 In-arrear swap; 6.7.4 Constant maturity swap; 6.7.5 Quanto or diff swap; 6.7.6 Swapping other types of cash flows: performance swaps; FURTHER READING; 7 Futures; 7.1 INTRODUCTION TO FUTURES; 7.1.1 Margining system; 7.1.2 Settlement of the future contract at maturity; 7.2 FUTURES PRICING; 7.2.1 Theoretical price of a future; 7.2.2 Theoretical versus market future price; 7.2.3 The implied repo rate (IRR) 327 $a7.2.4 Future versus forward prices 330 $aThe book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjective way, relying upon more than twenty years of experience as a market practitioner. The book only requires the reader to be knowledgeable in the basics of algebra and statistics. The Mathematical formulae are only fully proven when the proof brings some useful insight. These formulae are 410 0$aWiley finance series. 517 1 $aMathematics of the financial markets 606 $aBusiness enterprises$zEuropean Union countries 606 $aFinancial instruments$zEuropean Union countries 606 $aMoney market$zUnited States 606 $aSmall business$zEuropean Union countries$xAuditing 615 0$aBusiness enterprises 615 0$aFinancial instruments 615 0$aMoney market 615 0$aSmall business$xAuditing. 676 $a332.1/0973 676 $a332.6320151 700 $aRuttiens$b Alain$0848795 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910815366703321 996 $aMathematics of the financial markets$94001124 997 $aUNINA