Commentaire :

ISBN 13 : 978-3-540-25373-4

Sommaire : Contents

Part I. Introduction to Option Pricing

1. Asset Pricing Basics
1.1 Fundamental Concepts
1.2 State Prices in a One-Period Binomial Model
1.3 Probabilities and Numeraires
1.4 Asset Pricing with a Continuum of States
1.5 Introduction to Option Pricing
1.6 An Incomplete Markets Example

2. Continuous-Time Models
2.1 Simulating a Brownian Motion
2.2 Quadratic Variation
2.3 Itô Processes
2.4 Itô's Formula
2.5 Multiple Itô Processes
2.6 Examples of Itô's Formula
2.7 Reinvesting Dividends
2.8 Geometric Brownian Motion
2.9 Numeraires and Probabilities
2.10 Tail Probabilities of Geometric Brownian Motions
2.11 Volatilities

3. Black-Scholes
3.1 Digital Options
3.2 Share Digitals
3.3 Puts and Calls
3.4 Greeks
3.5 Delta Hedging
3.6 Gamma Hedging
3.7 Implied Volatilities
3.8 Term Structure of Volatility
3.9 Smiles and Smirks
3.10 Calculations in VBA

4. Estimating and Modelling Volatility
4.1 Statistics Review
4.2 Estimating a Constant Volatility and Mean
4.3 Estimating a Changing Volatility
4.4 GARCH Models
4.5 Stochastic Volatility Models
4.6 Smiles and Smirks Again
4.7 Hedging and Market Completeness

5. Introduction to Monte Carlo and Binomial Models
5.1 Introduction to Monte Carlo
5.2 Introduction to Binomial Models
5.3 Binomial Models for American Options
5.4 Binomial Parameters
5.5 Binomial Greeks
5.6 Monte Carlo Greeks I : Difference Ratios
5.7 Monte Carlo Greeks II : Pathwise Estimates
5.8 Calculations in VBA

Part II. Advanced Option Pricing

6. Foreign Exchange
6.1 Currency Options
6.2 Options on Foreign Assets Struck in Foreign Currency
6.3 Options on Foreign Assets Struck in Domestic Currency
6.4 Currency Forwards and Futures
6.5 Quantos
6.6 Replicating Quantos
6.7 Quanto Forwards
6.8 Quanto Options
6.9 Return Swaps
6.10 Uncovered Interest Parity

7. Forward, Futures, and Exchange Options
7.1 Margrabe's Formula
7.2 Black's Formula
7.3 Merton's Formula
7.4 Deferred Exchange Options
7.5 Calculations in VBA
7.6 Greeks and Hedging
7.7 The Relation of Futures Prices to Forward Prices
7.8 Futures Options
7.9 Time-Varying Volatility
7.10 Hedging with Forwards and Futures
7.11 Market Completeness

8. Exotic Options
8.1 Forward-Start Options
8.2 Compound Options
8.3 American Calls with Discrete Dividends
8.4 Choosers
8.5 Options on the Max or Min
8.6 Barrier Options
8.7 Lookbacks
8.8 Basket and Spread Options
8.9 Asian Options
8.10 Calculations in VBA

9. More on Monte Carlo and Binomial Valuation
9.1 Monte Carlo Models for Path-Dependent Options
9.2 Binomial Valuation of Basket and Spread Options
9.3 Monte Carlo Valuation of Basket and Spread Options
9.4 Antithetic Variates in Monte Carlo
9.5 Control Variates in Monte Carlo
9.6 Accelerating Binomial Convergence
9.7 Calculations in VBA

10. Finite Difference Methods
10.1 Fundamental PDE
10.2 Discretizing the PDE
10.3 Explicit and Implicit Methods
10.4 Crank-Nicolson
10.5 European Options
10.6 American Options
10.7 Barrier Options
10.8 Calculations in VBA

Part III. Fixed Income

11. Fixed Income Concepts
11.1 The Yield Curve
11.2 LIBOR
11.3 Swaps
11.4 Yield to Maturity, Duration and Convexity
11.5 Principal Components
11.6 Hedging Principal Components

12. Introduction to Fixed Income Derivatives
12.1 Caps and Floors
12.2 Forward Rates
12.3 Portfolios that Pay Spot Rates
12.4 The Market Model for Caps and Floors
12.5 The Market Model for European Swaptions
12.6 A Comment on Consistency
12.7 Caplets as Puts on Discount Bonds
12.8 Swaptions as Options on Coupon Bonds
12.9 Calculations in VBA

13. Valuing Derivatives in the Extended Vasicek Model
13.1 The Short Rate and Discount Bond Prices
13.2 The Vasicek Model
13.3 Estimating the Vasicek Model
13.4 Hedging in the Vasicek Model
13.5 Extensions of the Vasicek Model
13.6 Fitting Discount Bond Prices and Forward Rates
13.7 Discount Bond Options, Caps and Floors
13.8 Coupon Bond Options and Swaptions
13.9 Captions and Floortions
13.10 Yields and Yield Volatilities
13.11 The General Hull-White Model
13.12 Calculations in VBA

14. A Brief Survey of Term Structure Models
14.1 Ho-Lee
14.2 Black-Derman-Toy
14.3 Black-Karasinski
14.4 Cox-Ingersoll-Ross
14.5 Longstaff-Schwartz
14.6 Heath-Jarrow-Morton
14.7 Market Models Again

Appendices
A. Programming in VBA
B. Miscellaneous Facts about Continuous-Time Models

Langue : Anglais

Collection : SPRINGER FINANCE

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque