Problems and Solutions in Mathematical Finance: Commodity and Foreign Exchange Derivatives
by Chin, Eric
Problems and Solutions in Mathematical Finance -- Contents -- Preface -- About the Authors -- 1 Basic Equity Derivatives Theory -- 1.1 Introduction -- Option Trading -- Forward Contract -- Futures Contract -- Stock Split (Divide) Effect -- Stock Dividend Effect -- Hedging Strategies -- 1.2 Problems and Solutions -- 1.2.1 Forward and Futures Contracts -- 1.2.2 Options Theory -- 1.2.3 Hedging Strategies -- 2 European Options -- 2.1 Introduction -- 2.2 Problems and Solutions -- 2.2.1 Basic Propert…
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- Full title :Problems and Solutions in Mathematical Finance : Commodity and Foreign Exchange Derivatives
Summary
Problems and Solutions in Mathematical Finance -- Contents -- Preface -- About the Authors -- 1 Basic Equity Derivatives Theory -- 1.1 Introduction -- Option Trading -- Forward Contract -- Futures Contract -- Stock Split (Divide) Effect -- Stock Dividend Effect -- Hedging Strategies -- 1.2 Problems and Solutions -- 1.2.1 Forward and Futures Contracts -- 1.2.2 Options Theory -- 1.2.3 Hedging Strategies -- 2 European Options -- 2.1 Introduction -- 2.2 Problems and Solutions -- 2.2.1 Basic Properties -- 2.2.2 Black-Scholes Model -- 2.2.3 Tree-Based Methods -- 2.2.4 The Greeks -- 3 American Options -- 3.1 Introduction -- Optimal Stopping Time Formulation -- Free Boundary Formulation -- Linear Complementarity Formulation -- Binomial Option Pricing -- 3.2 Problems and Solutions -- 3.2.1 Basic Properties -- 3.2.2 Time-Independent Options -- 3.2.3 Time-Dependent Options -- 4 Barrier Options -- 4.1 Introduction -- In-Out Parity -- Barrier Options Pricing -- Probabilistic Approach -- Partial Differentiation Equation Approach -- 4.2 Problems and Solutions -- 4.2.1 Probabilistic Approach -- 4.2.2 Reflection Principle Approach -- 4.2.3 Further Barrier-Style Options -- 5 Asian Options -- 5.1 Introduction -- Average Rate (Fixed Strike) Option Payoff -- Average Strike (Floating Strike) Option Payoff -- Put-Call Parity -- 5.2 Problems and Solutions -- 5.2.1 Discrete Sampling -- 5.2.2 Continuous Sampling -- 6 Exotic Options -- 6.1 Introduction -- Path-Independent Options -- Path-Dependent Options -- 6.2 Problems and Solutions -- 6.2.1 Path-Independent Options -- 6.2.2 Path-Dependent Options -- 7 Volatility Models -- 7.1 Introduction -- Historical Volatility -- Implied Volatility -- Local Volatility -- Stochastic Volatility -- 7.2 Problems and Solutions -- 7.2.1 Historical and Implied Volatility -- 7.2.2 Local Volatility -- 7.2.3 Stochastic Volatility
7.2.4 Volatility Derivatives -- Appendix A Mathematics Formulae -- Indices -- Surds -- Exponential and Natural Logarithm -- Quadratic Equation -- Binomial Formula -- Series -- Summation -- Trigonometric Functions -- Hyperbolic Functions -- Complex Numbers -- Derivatives -- Standard Differentiations -- Taylor Series -- Maclaurin Series -- Landau Symbols and Asymptotics -- L'Ĥopital's Rule -- Indefinite Integrals -- Standard Indefinite Integrals -- Definite Integrals -- Derivatives of Definite Integrals -- Integration by Parts -- Integration by Substitution -- Gamma Function -- Beta Function -- Convex Function -- Dirac Delta Function -- Heaviside Step Function -- Fubini's Theorem -- Appendix B Probability Theory Formulae -- Probability Concepts -- Bayes' Rule -- Indicator Function -- Discrete Random Variables -- Continuous Random Variables -- Properties of Expectation and Variance -- Properties of Moment-Generating and Characteristic Functions -- Correlation Coefficient -- Convolution -- Discrete Distributions -- Continuous Distributions -- Integrable and Square-Integrable Random Variables -- Convergence of Random Variables -- Relationship Between Modes of Convergence -- Dominated Convergence Theorem -- Monotone Convergence Theorem -- The Weak Law of Large Numbers -- The Strong Law of Large Numbers -- The Central Limit Theorem -- Appendix C Differential Equations Formulae -- Separable Equations -- First-Order Ordinary Differential Equations -- Second-Order Ordinary Differential Equations -- Homogeneous Heat Equations -- Stochastic Differential Equations -- Black-Scholes Model -- Black Model -- Garman-Kohlhagen Model -- Bibliography -- Notation -- Set Notation -- Mathematical Notation -- Probability Notation -- Index -- EULA
Edition Statements
- Publication Date:2016
Publication Statements
- Publisher(s):John Wiley & Sons, Incorporated
- Place of Publication:Somerset
- Language:eng
- Publication Date:2016
The Physical Object
- Description:1 Online-Ressource (859 Seiten)
Edition Identifiers
- ISBN:9781119966111, 1119966116, 9781119965824, 1119965829
- oclc:on1015767666
- LC Classification:HG106
- Dewey Decimal:332.015195
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