Title Statements
- Full title :Market practice in financial modelling / Chia Chiang Tan.
Edition Statements
- Publication Date:©2012.
Publication Statements
- Publisher(s):World Scientific Pub
- Place of Publication:Singapore
- Language:eng
- Publication Date:©2012.
The Physical Object
- Description:1 online resource
Edition Identifiers
- ISBN:9789814366557, 9814366552
- oclc:on1020603224
- LC Classification:HG6024.A3T327 2012
- Dewey Decimal:332.6457
Table of Contents
Intro; Contents; Preface; Foreword; Acknowledgements; 1. Introduction; 1.1 The Theory; 1.1.1 Itoâ#x80;#x99;s Lemma; 1.1.2 The Blackâ#x80;#x93;Scholes Partial Differential Equation (PDE); 1.1.3 Martingale Representation Theorem; 1.1.4 Radonâ#x80;#x93;Nikodym Transform; 1.1.5 Girsanov Theorem; 1.1.6 Feynmanâ#x80;#x93;Kac Theorem; 1.1.7 Reflection Principle; 1.2 Market Quantities; 1.2.1 Interest Rates; 1.2.2 Spot Quantities; 1.2.3 Asset Forward Prices; 1.2.4 Volatilities; 1.2.5 Correlations; 1.2.6 Calibration; 1.3 Consolidation; 1.3.1 Summary; 1.3.2 Exercises; 2. Standard Market Instruments; 2.1 Linear Interest Rates.
2.1.1 Deposits, Futures, and SwapsDeposits; Futures; Swaps; 2.1.2 The Yield Curve; 2.1.3 Overnight Index Swaps and Basis Swaps; 2.2 Interest Rate Options; 2.2.1 Caplets; 2.2.2 Swaptions; 2.3 Foreign Exchange; 2.3.1 Forwards and the Cross-Currency Swap; 2.3.2 Options, Strangles, and Risk Reversals; At-the-money options; Strangles; Risk reversals; 2.3.3 Barriers and One-Touches; 2.4 Equities; 2.4.1 Forwards and Futures; 2.4.2 Exchange Traded Options; 2.4.3 Put-Call Parity; 2.5 Consolidation; 2.5.1 Summary; 2.5.2 Exercises; 3. Replication; 3.1 Static Replication; 3.1.1 Th…
Writers
No reviews yet. Be the first to rate this work.
Rate & Review