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Financial Mathematics, Derivatives and Structured Products
Financial Mathematics, Derivatives and Structured Products
Autore Chan Raymond H
Edizione [2nd ed.]
Pubbl/distr/stampa Singapore : , : Springer, , 2024
Descrizione fisica 1 online resource (478 pages)
Disciplina 650.01513
Altri autori (Persone) GuoYves ZY
LeeSpike T
LiXun
ISBN 9789819995349
9789819995332
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Preface -- Acknowledgments -- Contents -- Acronyms -- Notation -- Part I Financial Markets -- 1 Introduction to Financial Markets -- 1.1 Investable Assets and Financial Instruments -- 1.2 Investment Returns and Risks -- 1.3 Investment Performance Measures -- 1.4 Financial Markets -- 1.5 Central Counterparty (CCP) -- 1.6 Securities Lending and Repo -- 1.7 Derivatives Activities -- Exercises -- 2 Financial Transactions and Counterparty Risk Management* -- 2.1 Concepts in the Life Cycle of a Financial Transaction -- 2.2 Margining Methods for Mitigating Counterparty Risk -- 2.3 Exchange-Traded Derivatives* -- 2.4 OTC Derivatives* -- 2.4.1 OTC Derivatives Documentation* -- 2.4.2 Centralized Clearing* -- 2.4.3 Non-Centrally Cleared Derivatives* -- 2.5 Risk Management for Investment Financing* -- Exercises -- 3 Interest Rate Instruments: I -- 3.1 Interest Rate Conventions -- 3.1.1 Day Count Convention -- 3.1.2 Business Day Convention -- 3.2 Interest Rate Types and Zero Coupon Bond -- 3.2.1 Simple Rate -- 3.2.2 Compound Rate -- 3.2.3 Continuous Rate -- 3.2.4 Conversion of Interest Rates -- 3.2.5 Zero Coupon Bond -- 3.3 Money Market Instruments -- 3.4 Reference (Floating) Rates in Financial Market -- 3.4.1 Front-Fixed Reference Rates -- IBOR (Interbank Offered Rate) -- Repo Rate -- 3.4.2 Rear-Fixed Reference Rates -- Overnight Reference Rates -- Rear-Fixed Term Reference Rates -- 3.5 Bonds -- 3.5.1 Bond Features and Types -- 3.5.2 Bond Quotation and Yield to Maturity -- 3.5.3 Duration, Modified Duration, BPV, DV01 and Convexity -- 3.6 Credit Rating -- 3.7 Main Risks for a Debt Security -- Exercises -- 4 Interest Rate Instruments: II -- 4.1 Forward Rate Agreement and Single-Period Swap -- 4.2 Interest Rate Futures -- 4.2.1 Short-Term Interest Rate (STIR) Futures -- 4.2.2 Treasury Bond Futures* -- 4.3 Interest Rate Swap (IRS).
4.3.1 Asset Swap as an IRS Application -- 4.3.2 IRS Valuation -- 4.3.3 Overnight Indexed Swap (OIS) -- 4.3.4 Other Interest Rate Swaps* -- 4.3.5 Swap Clearing* -- 4.3.6 Swap Futures* -- 4.4 Yield Curve Construction -- 4.4.1 Yield Curve -- 4.4.2 Interpolation Method for Yield Curve -- 4.4.3 Bootstrapping Method -- 4.4.4 Illustration Example for Yield Curve Construction -- 4.5 Multiple Zero-Coupon Curves* -- Exercises -- 5 Equities and Equity Indices -- 5.1 Equity -- 5.2 Corporate Actions -- 5.2.1 Stock Dividend -- 5.2.2 Stock Split, Reverse Stock Split, Rights Issue* -- 5.2.3 Impact of Corporate Actions* -- 5.2.4 No-Arbitrage Condition for Derivatives Price and Contract Terms Adjustment* -- 5.2.5 Total Return Asset* -- 5.2.6 Historical Price Adjustment due to CorporateActions* -- 5.3 Equity Index -- 5.4 Equity Forward and Cash and Carry Strategy -- 5.5 Equity Index Futures -- 5.6 Equity Swap* -- Exercises -- 6 Foreign Exchange Instruments -- 6.1 Quotation Conventions -- 6.2 FX Spot, Forward, Swap, Non-deliverable Forward (NDF) -- 6.3 Interest Rate Parity for FX Forward -- 6.4 Cross Currency Swap and Non-deliverable Swap (NDS) -- Exercises -- 7 Commodities -- 7.1 Commodities Overview -- 7.2 Commodity Forward and Futures -- 7.3 A Special Commodity: Gold -- Exercises -- 8 Credit Derivatives -- 8.1 Credit Default Swap (CDS) -- 8.2 CLN (Credit Linked Note) -- 8.3 Credit Index* -- 8.4 Collateralized Debt Obligation (CDO)* -- 8.4.1 Synthetic CDO* -- 8.4.2 Single Tranches on Credit Index* -- Exercises -- 9 Investment Funds -- 9.1 Funds -- 9.1.1 Fund NAV and Fees -- 9.1.2 Fund Organization* -- 9.1.3 Share Classes* -- 9.2 Mutual Fund -- 9.3 Hedge Fund* -- 9.4 Fund Structures* -- 9.5 Fund Derivatives* -- Exercises -- 10 Options -- 10.1 Option General Features -- 10.1.1 Option Style -- 10.1.2 Moneyness of an Option -- 10.1.3 Notional Amount Definition.
10.2 Option Price, Intrinsic Value and Time Value -- 10.3 Vanilla Options -- 10.3.1 Equity Options -- 10.3.2 Foreign Exchange Options -- 10.3.3 Commodity Options -- 10.3.4 Interest Rate Options* -- Cap/Floor -- Swaption -- 10.3.5 Option Pricing, Hedging, and Execution* -- Option Hedging/Pricing -- Option Order Execution -- Vanilla Option Pricing -- Option Quotation -- 10.3.6 Implied Volatility* -- 10.3.7 Put-Call Parity -- 10.3.8 Popular Strategies with European Options -- 10.3.9 American Options -- 10.4 Exotic Options -- 10.4.1 Barrier Option -- 10.4.2 Binary (or Digital) Option -- 10.4.3 In-Out Parity* -- 10.4.4 Asian Option or Average Option -- 10.4.5 Lookback Option -- 10.4.6 Quanto Option and Composite Option -- 10.4.7 Basket Option, Worst-of, and Rainbow Options -- 10.5 Derivatives Modelling Framework* -- 10.5.1 Purpose of Derivatives Modelling -- 10.5.2 Model Input Parameters and Calibration* -- 10.5.3 Historical Volatility and Correlation* -- Exercises -- 11 Introduction to Structured Products -- 11.1 Background and Purpose of Structured Products -- 11.2 Principal Protected Product Example -- 11.3 Non-principal Protected Product Example -- 11.4 Quanto Feature in Structured Products -- 11.5 Risks of Structured Products to Investors -- Exercises -- Part II Stochastic Calculus and Financial Modelling -- 12 Review of Basic Probability Concepts -- 12.1 Probability Space, Measure, and Properties -- 12.2 Independence and Conditional Probability -- 12.3 Random Variable and Distribution -- 12.3.1 Distribution -- 12.3.2 Expectation -- 12.3.3 Variance and Covariance -- 12.3.4 Independent Random Variables -- 12.3.5 Conditional Probability Distribution -- 12.3.6 Conditional Expectation Given Event -- 12.3.7 Characteristic and Moment Generating Functions -- 12.3.8 Normal Distribution -- 12.3.9 Exponential Distribution -- 12.3.10 Poisson Distribution.
12.4 Limit Theorems -- 12.4.1 Law of Large Numbers -- 12.4.2 Central Limit Theorem -- 12.4.3 Confidence Interval -- Exercises -- 13 Stochastic Calculus: I -- 13.1 Stochastic Process -- 13.2 Conditional Expectation Given σ-Algebra* -- 13.3 Martingale, Stopping Time -- 13.4 Markov Property* -- 13.5 Quadratic Variation -- 13.6 Brownian Motion -- 13.7 Itô Integral and Itô Calculus -- 13.8 Poisson Process* -- Exercises -- 14 Black-Scholes-Merton Model for Option Pricing -- 14.1 The Black-Scholes-Merton Model -- 14.2 Derivation of the Black-Scholes Equation -- 14.3 Black-Scholes Formulas for Vanilla Options -- 14.4 Derivatives Price Sensitivities (Greeks) -- 14.5 Practical Issues in Hedging* -- 14.5.1 Hedging Instruments and Hedging Ratios -- 14.5.2 Discrete Hedging -- 14.5.3 Delta-Hedging P/L -- 14.5.4 Motivation for Volatility Modelling -- 14.5.5 Transaction Cost* -- Exercises -- 15 Stochastic Calculus: II -- 15.1 Change of Probability -- 15.2 Predictable Martingale Representation -- 15.3 Stochastic Differential Equations -- 15.4 Kolmogorov Equations* -- 15.5 Breeden-Litzenberger Formulas* -- 15.6 Further Properties of Brownian Motion (BM)* -- 15.6.1 Covariance of Brownian Motions -- 15.6.2 First Passage Time -- 15.6.3 Extremum to Date -- 15.6.4 Reflection Principle -- 15.6.5 Distribution of First Passage Time -- 15.6.6 Joint Distribution for BM Extremum -- 15.6.7 Conditional Distribution for Drifted BM Extremum -- Exercises -- 16 Risk-Neutral Pricing Framework -- 16.1 Money Market Account and Discounting -- 16.2 Self-Financing Portfolio -- 16.2.1 Properties of a Self-Financing Portfolio -- 16.2.2 Excess Return, Self-Financing and Portfolio Return -- 16.3 Risk-Neutral Probability Measure -- 16.4 Pricing and Hedging of Derivatives -- 16.5 Discussion on Hedging, Pricing and Risk-Neutral Framework -- 16.6 The Black-Scholes-Merton Model Revisited.
16.6.1 Closed-Form Formulas for European VanillaOptions -- 16.6.2 Vega-Gamma Relationship* -- 16.7 Dividend Modelling -- 16.7.1 Dividend Types -- 16.7.2 Continuous Dividend Modelling -- 16.7.3 Discrete Dividend Modelling* -- 16.7.4 Adjustment to Derivatives for Corporate Actions* -- 16.8 Collateralized Derivative Pricing and FVA* -- 16.9 Futures and Forward Modelling* -- 16.9.1 Futures -- 16.9.2 Forward -- 16.9.3 Futures/Forward Convexity Adjustment -- 16.10 Overview on Numerical Methods for Option Pricing -- Exercises -- 17 Numéraires and Vanilla Interest Rate Options Pricing* -- 17.1 Introduction of Numéraire -- 17.2 Change of Numéraire -- 17.3 Generalized Risk-Neutral Framework -- 17.4 Usual Numéraires and Vanilla Interest Rate Options Pricing -- 17.4.1 Money Market Account Numéraire -- 17.4.2 Zero-Coupon Bond Numéraire and Cap/FloorPricing -- Pricing of Cap or Floor -- 17.4.3 Annuity Factor Numéraire and Swaption Pricing -- Pricing of Swaption -- 17.4.4 SABR Model for Vanilla Interest Rate Options -- Exercises -- 18 Foreign Exchange Modelling -- 18.1 Stochastic Model for Foreign Exchange Rate -- 18.1.1 Cross Rate Volatility -- 18.2 Pricing Formulas for Vanilla Options and FX Option Duality -- 18.2.1 FX Option Duality -- 18.3 SDE for Foreign Asset Under Domestic Risk-NeutralProbability -- 18.4 Quanto Option -- 18.5 Composite Option -- 18.6 Discussions on Hedging* -- Exercises -- 19 American and Exotic Options* -- 19.1 American Options -- 19.1.1 General Analysis on American Options -- 19.1.2 American Option Price Process* -- 19.1.3 Partial Differential Inequality* -- 19.2 Pricing of Some Exotic Options under the BSM Model* -- 19.2.1 European Binary Options -- 19.2.2 American Binary and Barrier Options -- 19.2.3 Asian Options with Continuous Sampling* -- A Useful Result -- 20 Hedging/Pricing Options and Structured Products in Practice*.
20.1 Barrier Risk and the Mitigation Methods.
Record Nr. UNINA-9910865274003321
Chan Raymond H  
Singapore : , : Springer, , 2024
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial Mathematics, Derivatives and Structured Products / / by Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li
Financial Mathematics, Derivatives and Structured Products / / by Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li
Autore Chan Raymond H
Edizione [1st ed. 2019.]
Pubbl/distr/stampa Singapore : , : Springer Singapore : , : Imprint : Springer, , 2019
Descrizione fisica 1 online resource (397 pages)
Disciplina 519.24
Soggetto topico Mathematical models
Probabilities
Financial engineering
Statistics 
Mathematical Modeling and Industrial Mathematics
Probability Theory and Stochastic Processes
Financial Engineering
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 981-13-3696-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction to Financial Markets -- Interest Rate Instruments -- Equities and Equity Indices -- Foreign Exchange Instruments -- Commodities -- Credit Derivatives -- Investment Funds -- Options -- Elements of Probability -- Stochastic Calculus Part I -- Black–Scholes–Merton Model for Option Pricing -- Stochastic Calculus Part II -- Risk-Neutral Pricing Framework -- Numerical Methods for Option Pricing -- American Options -- Exotic Options Pricing and Hedging -- Num´eraires and the Pricing of Vanilla Interest Rate Options -- Foreign Exchange Modelling -- Local, Stochastic Volatility Models, Static Hedging and Variance Swap -- Jump-diffusion Models -- Interest Rate Term Structure Modelling -- Credit Modelling -- Commodity Modelling -- Structured Products -- Popular Structured Products -- Dynamic Asset Allocation -- Systematic Strategy.
Record Nr. UNINA-9910350242203321
Chan Raymond H  
Singapore : , : Springer Singapore : , : Imprint : Springer, , 2019
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui