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A new 6th edition published on June 10, 2005 HULL: Options, Futures & Other Derivatives, 6th Edition (2005) HULL: Options, Futures & Other Derivatives, 6th Edition (2005) (What's New in the Sixth Edition?)
HULL Options, Futures & Other Derivatives, 5th Edition, US
HULL: Options, Futures & Other Derivatives, 5th Edition, US See also HULL: Solutions Manual: Options, Futures and Other Derivatives (Solutions Manual) HULL: Options, Futures & Other Derivatives, 5th Edition, US (Solutions Manual) and HULL: Fundamentals of Futures and Options Markets HULL: Fundamentals of Futures and Options Markets, 5th Edition

Table of Contents

1. Introduction
2. Mechanics of Futures and Forward Markets
3. Determination of Forward and Futures Prices
4. Hedging Strategies Using Futures
5. Interest Rate Markets
6. Swaps
7. Mechanics of Options Markets
8. Properties of Stock Options
9. Trading Strategies Involving Options
10. Introduction to Binomial Trees
11. Model of the Behavior of Stock Prices
12. The Black-Scholes Model
13. Options on Stock Indices, Currencies, and Futures
14. The Greek Letters
15. Volatility Smiles
16. Value at Risk
17. Estimating Volatilities and Correlations
18. Numerical Procedures
19. Exotic Options
20. More on Models and Numerical Procedures
21. Martingales and Measures
22. Interest Rate Derivatives: The Standard Market Models
23. Interest Rate Derivatives: Models of the Short Rate
24. Interest Rate Derivatives: More Advanced Models
25. Swaps Revisited
26. Credit Risk
27. Credit Derivatives
28. Real Options
29. Insurance, Weather, and Energy Derivatives
30. Derivatives Mishaps and What We Can Learn from Them

NEFTCI Introduction to the Mathematics of Financial Derivatives
NEFTCI: Introduction to the Mathematics of Financial Derivatives See also a new book NEFTCI Principles of Financial Engineering NEFTCI: Principles of Financial Engineering

Table of Contents

Financial Derivatives: A Brief Introduction
A Primer on Arbitrage Theorem
Calculus in Deterministic and Stochastic Environments
Pricing Derivatives: Models and Notation.
Tools in Probability Theory
Martingales and Martingale Representations
Differentiation in Stochastic Environments
The Wiener Process and Rare Events in Financial Markets
Integration in Stochastic Environments: The Ito Integral
Ito's Lemma
The Dynamics of Derivative Prices: Stochastic Differential Equations.
Pricing Derivative Products: Partial Differential Equations
The Black-Scholes PDE: An Application
Pricing Derivative Products: Equivalent Martingale Measures
Equivalent Martingale Measures: Applications
New Results and Tools for Interest Sensitive Securities.
Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates.
Modeling Term Structure and Related Concepts.
Classical and HJM Approaches to Fixed Income.
Classical PDE Analysis for Interest Rate Derivatives.
Relating Conditional Expectations to PDEs.
Stopping Times and American-Type Securities.
Bibliography
Index

WILMOTT Paul Wilmott on Quantitative Finance, 2 Volume Set
Paul Wilmott on Quantitative Finance, 2 Volume Set Paul Wilmott on Quantitative Finance, 2 Volume Set

Table of Contents

Volume 1

Chapter 1: Products and Markets
Chapter 2: Derivatives
Chapter 3: The Random Behavior of Assets
Chapter 4: Elementary Stochastic Calculus
Chapter 5: The Black-Scholes Model
Chapter 6: Partial Differential Equations
Chapter 7: The Black-Scholes Formulae and the 'Greeks'
Chapter 8: Simple Generalizations of the Black-Scholes World
Chapter 9: Early Exercise and American Options
Chapter 10: Probability Density Functions and First Exit Times
Chapter 11: Multi-asset Options
Chapter 12: The Binomial Model
Chapter 13: Predicting the Markets?
Chapter 14: The Trading Game
Chapter 15: An Introduction to Exotic and Path-dependent Options
Chapter 16: Barrier Options
Chapter 17: Strongly Path-dependent Options
Chapter 18: Asian Options
Chapter 19: Lookback Options
Chapter 20: Derivatives and Stochastic Control
Chapter 21: Miscellaneous Exotics
Chapter 22: Defects of the Black-Scholes Model
Chapter 23: Discrete Hedging
Chapter 24: Transaction Costs
Chapter 25: Volatility Smiles and Surfaces
Chapter 26: Stochastic Volatility
Chapter 21: Uncertain Parameters
Chapter 28: Empirical Analysis of Volatility
Chapter 29: Jump Diffusion
Chapter 30: Crash Modeling
Chapter 31: Speculating With Options
Chapter 32: Static Hedging
Chapter 33: The Feedback Effect of Hedging in Illiquid Markets
Chapter 34: Utility Theory
Chapter 35: More About American Options and Related Matters
Chapter 36: Stochastic Volatility and Mean-variance Analysis
Chapter 37: Advanced Dividend Modeling

Volume 2

Chapter 38: Fixed-income Products and Analysis: Yield, Duration and Convexity
Chapter 39: Swaps
Chapter 40: One-factor Interest Rate Modeling
Chapter 41: Yield Curve Fitting
Chapter 42: Interest Rate Derivatives
Chapter 43: Convertible Bonds
Chapter 44: Mortgage-backed Securities
Chapter 45: Multi-factor Interest Rate Modeling
Chapter 46: Empirical Behavior of the Spot Interest Rate
Chapter 47: Heath, Jarrow and Morton
Chapter 48: Interest-rate Modeling Without Probabilities
Chapter 49: Pricing and Optimal Hedging of Derivatives, the Non-probabilistic Model Cont'd
Chapter 50: Extensions to the Non-probabilistic Interest-rate Model
Chapter 51: Portfolio Management
Chapter 52: Asset Allocation in Continuous Time
Chapter 53: Value at Risk
Chapter 54: Value of the Firm and the Risk of Default
Chapter 55: Credit Risk
Chapter 56: Credit Derivatives
Chapter 57: RiskMetrics and CreditMetrics
Chapter 58: CrashMetrics
Chapter 59: Derivatives **** Ups
Chapter 60: Bonus Time
Chapter 61: Real Options
Chapter 62: Energy Derivatives
Chapter 63: Finite-difference Methods for One-factor Models
Chapter 64: Further Finite-difference Methods for One-factor Models
Chapter 65: Finite-difference Methods for Two-factor Models
Chapter 66: Monte Carlo Simulation and Related Methods
Chapter 67: Finite-difference Programs Appendix: All the Math You Need ... and No More (An Executive Summary)

JAECKEL Monte Carlo Methods in Finance
Monte Carlo Methods in Finance

Table of Contents

Introduction
The Mathematics behind Monte Carlo methods
Correlation
Normal, Log-Normal and Other Processes
Applications in Risk Management
Option Pricing
Value at Risk
Faster Monte Carlo 1: Various Reduction Techniques
Faster Monte Carlo 2: Low Discrepency Numbers
Monte Carlo and Professional Quantitative Research
More Hints and Tricks
New Monte Carlo Techniques

REBONATO Volatility and Correlation : In the Pricing of Equity, Fx and Interest-Rate Options
Volatility and Correlation : In the Pricing of Equity, Fx and Interest-Rate Options See also a new Second Edition Volatility and Correlation : The Perfect Hedger and the Fox REBONATO: Volatility and Correlation : The Perfect Hedger and the Fox

Table of Contents

FOUNDATIONS

Volatility: Fundamental Concepts and Definitions
Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds
Instantaneous and Terminal Correlations

DEALING WITH SMILES

Pricing Options in the Presence of Smiles
Tree Methodologies for Smiley Option Prices
Efficient Extraction of the Future Local Volatility from Plain-Vanilla Option Prices
Closed-Form Solutions for Smiley Option Prices via Direct Modelling of the Density
Explaining Smiles by Means of Mixed Jump-Diffusion Processes

INTEREST RATES

The Role of Mean Reversion in Interest-Rate Models
Optimal Calibration of the Brace-Gatarek-Musiela Model
Specifying the Instantaneous Volatility of Forward Rates
References
Index

REBONATO Interest-Rate Option Models : Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, 2nd Edition
Interest-Rate Option Models : Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, 2nd Edition

Table of Contents

Acknowledgements
Introduction and outline of the book
List of symbols and abbreviations
1. Definition and valuation of the underlying instruments
2. Yield curve models: a statistical approach
3. A motivation for yield curve models
4. The analytic and probabilistic tools
5. The conditions of no-arbitrage
6. Lattice methodologies
7. The partial differential equation (PDE) approach
8. Monte Carlo approaches
9. The CIR and Vasicek models
10. The Black Derman and Toy model
11. The Hull and White approach
12. The Longstaff and Schwartz model
13. The Brennan and Schwartz model
14. The Heath Jarrow and Morton approach
15. Affine models
16. Markovian and non-Markovian interest-rate models
Bibliography
Index

REBONATO Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond
Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond

Table of Contents

I. The Structure of the LIBOR Market Model

1. Putting the Modern Pricing Approach in Perspective
2. The Mathematical and Financial Set-up
3. Describing the Dynamics of Forward Rates
4. Characterizing and Valuing Complex LIBOR Products
5. Determining the No-Arbitrage Drifts of Forward Rates

II. The Inputs to the General Framework

6. Instantaneous Volatilities
7. Specifying the Instantaneous Correlation Function

III Calibration of the LIBOR Market Model

8. Fitting the Instantaneous Volatility Functions
9. Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix
10 Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices

IV. Beyond the Standard Approach: Accounting for Smiles

11. Extending the Standard Approach - I: CEV and Displaced Diffusion
12. Extending the Standard Approach - II: Stochastic Instantaneous Volatilities
13. A Joint Empirical and Theoretical Analysis of the Stochastic-Volatility LIBOR Market Model

HAUG The Complete Guide to Option Pricing Formulas
The Complete Guide to Option Pricing Formulas

Table of Contents

Plain Vanilla Options
Exotic Options
Numerical Methods in Options Pricing
Interest-Rate Options
Volatility and Correlation
Some Useful Formulas
Distributions
Partial Derivatives of the Black-Scholes
The Option-Pricing Software
Bibliography
Index

FABOZZI The Handbook of Fixed Income Securities
The Handbook of Fixed Income Securities

Table of Contents

1 Overview of the Types and Features of Fixed Income Securities 3
2 Risks Associated with Investing in Fixed Income Securities 20
3 A Review of the Time Value of Money 28
4 Bond Pricing and Return Measures 49
5 Price Volatility Characteristics of Fixed Income Securities 83
6 The Structure of Interest Rates 113
7 Treasury and Agency Securities 141
8 Municipal Bonds 155
9 Private Money Market Instruments 186
10 Corporate Bonds 203
11 Medium-Term Notes 233
12 Domestic Floating-Rate and Adjustable-Rate Debt Securities 255
13 Nonconvertible Preferred Stock 265
14 Convertible Securities 290
15 The High-Yield Corporate Bond Market 307
16 Eurocapital Markets 327
17 Stable Value Investments 354
18 Credit Analysis for Corporate Bonds 375
19 Credit Considerations in Evaluating High-Yield Bonds 411
20 Investing in Chapter 11 and Other Distressed Companies 421
21 Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bonds 443
22 Sovereign Risk from a Corporate Bond Analyst Perspective 470
23 Mortgages 483
24 Mortgage Pass-Through Securities 502
25 Collateralized Mortgage Obligations 549
26 Asset-Backed Securities 583
27 Evaluating Credit Risk of Asset-Backed Securities 602
28 Valuation of Bonds with Embedded Options 611
29 Option-Adjusted Spread Analysis 635
30 OAS and Effective Duration 665
31 New Duration Measures for Risk Management 682
32 Interest-Rate Risk Models Used in the Banking and Thrift Industries 695
33 Risk Measures for Foreign Bonds 709
34 Fixed Income Risk Modeling 720
35 Valuation and Risk Analysis of International Bonds 733
36 Valuation and Analysis of Convertible Securities 750
37 The Term Structure of Interest Rates 779
38 Bond Management: Past, Current, and Future 833
39 The Active Decisions in the Selection of Passive Management and Performance Bogeys 840
40 A Sponsor's View of Benchmark Portfolios 864
41 Indexing Fixed Income Assets 882
42 Bond Immunization: An Asset/Liability Optimization Strategy 896
43 Dedicated Bond Portfolios 927
44 Beyond Cash Matching 942
45 Improving Insurance Company Portfolio Returns 955
46 Asset/Liability Management for Property/Casualty Insurers 971
47 The Management of High-Yield Bond Portfolios 995
48 International Bond Investing and Portfolio Management 1007
49 International Fixed Income Investing: Theory and Practice 1045
50 Introduction to Interest-Rate Futures and Options Contracts 1079
51 Pricing Futures and Portfolio Applications 1106
52 Treasury Bond Futures Mechanics and Basis Valuation 1119
53 The Basics of Interest-Rate Options 1145
54 An Overview of Fixed Income Option Models 1171
55 Hedging with Futures and Options 1204
56 Interest-Rate Swaps 1236
57 Interest-Rate Caps and Floors and Compound Options 1255
58 Forecasting Interest Rates

JACKSON / STAUNTON Advanced Modelling in Finance Using Excel and VBA
Advanced Modelling in Finance Using Excel and VBA

Table of Contents

Preface
Acknowledgements
1 Introduction 1

Pt. 1 Advanced Modelling in Excel 7

2 Advanced Excel functions and procedures 9
3 Introduction to VBA 39
4 Writing VBA user-defined functions 73

Pt. 2 Equities 99

5 Introduction to equities 101
6 Portfolio optimisation 103
7 Asset pricing 125
8 Performance measurement and attribution 139

Pt. 3 Options on Equities 155

9 Introduction to options on equities 157
10 Binomial trees 167
11 The Black-Scholes formula 185
12 Other numerical methods for European options 197
13 Non-normal distributions and implied volatility 209

Pt. 4 Options on Bonds 221

14 Introduction to valuing options on bonds 223
15 Interest rate models 231
16 Matching the term structure 243

App Other VBA functions 253
Index 259

TAVELLA Quantitative Methods in Derivatives Pricing : An Introduction to Computational Finance
Quantitative Methods in Derivatives Pricing : An Introduction to Computational Finance

Table of Contents

Ch. 1 Arbitrage and Pricing 1
Ch. 2 Fundamentals of Stochastic Calculus 8
Ch. 3 Pricing in Continuous Time 41
Ch. 4 Scenario Generation 77
Ch. 5 European Pricing with Simulation 121
Ch. 6 Simulation for Early Exercise 177
Ch. 7 Pricing with Finite Differences 207
Bibliography 273
Index 277

TAVELLA / RANDALL Pricing Financial Instruments : The Finite Difference Method
Pricing Financial Instruments : The Finite Difference Method

Table of Contents

1 Introduction 1

Stochastic Processes 3
Markov Processes 5
Stochastic Differential Equations 8
Ito's Formula 9
Ito's Formula for Processes with Jumps 10
Arbitrage Pricing Theory 13
Change of Measure 16
References 21

2 The Pricing Equations 23

European Derivatives 24
Hedging Portfolio Approach 24
Feynman-Kac Approach 27
The Pricing Equation in the Presence of Jumps 30
An Application of Jump Processes: Credit Derivatives 34
Defaultable Bonds 37
Full Protection Credit Put 38
American Derivatives 39
Relationship between European and American Derivatives 40
American Options as Dynamic Optimization Problems 42
Conditions at Exercise Boundaries 43
Linear Complementarity Formulation of American Option Pricing 44
Path Dependency 45
Discrete Sampling of Path Dependency 47
Dimensionality Reduction 48
Reformulating the Underlying Processes in a Different Measure 49
Currency Translated Options 50
Equations for the Hedging Parameters 56
Computation of Greeks by Direct Discretization 57
Computation of Greeks through Their Governing Equations 57
References 60

3 Analysis of Finite Difference Methods 61

Motivation 61
Constructing Finite Difference Approximations 67
Stability Analysis: Matrix Approach 70
Space Discretization 71
Time Discretization 73
Analysis of Specific Algorithms 77
Eigenvalue Analysis of the Black-Scholes Equation 86
Stability Analysis: Fourier Approach 90
Implementation of the Time Advancement 93
Solving Sparse Systems of Linear Equations 94
Finite Difference Approach to American Options 100
The Linear Complementarity Problem 101
Distortions Induced by Discretization 105
Strategies for Complex Derivative Structures 107
References 108

4 Special Issues 110

Effect of Payoff Discontinuities on Convergence 110
Implementing Jump Conditions 114
Boundary Conditions 120
Boundary Conditions in One Dimension 121
Boundary Conditions in Multiple Dimensions 130
Continuous and Discrete Sampling Models for Path-Dependent Options 132
Continuous Sampling 132
Discrete Sampling 136
Performance of Solvers for Multidimensional Problems 141
Numerical Solution of PIDEs: Jump-Diffusion and Pure Jump Models 147
References 155

5 Coordinate Transformations 156

One-Dimensional, Time-Independent Transformations 157
Transformations Place Grid Points at Selected Positions 160
Transformations That Concentrate Grid Points 167
One-Dimensional, Time-Dependent Transformations 172
Multidimensional, Time-Independent Transformations 173
Factored Multidimensional, Time-Independent Transformations 174
General Multidimensional, Time-Independent Transformations 175
Multidimensional Linear Transformations 177
References 182

6 Numerical Examples 183 Barrier Options 183

Time-Dependent Barriers 183
Nonuniform Grids and Discrete Sampling 187
Discretely Sampled Parisian Options 196
A Leveraged Knockin Put 202
Discretely Sampled Asian Options 206
Stochastic Volatility 212
Convertible Bond 214
Simple Fixed Income Instruments: Forward Swap 218
Credit Derivatives 223
References 228
Index 231

BROOKS Building Financial Derivatives Applications with C++
Building Financial Derivatives Applications with C++

Table of Contents

Preface
Introduction
Learning Objectives
Introduction
The Case for C++
Derivative Technology and Applications
Overview of C++
Summary
Appendix 1A: Brief Overview of Borland C++ Builder
Hello World Program: Windows Graphical User
Interface (GUI)
File Types
Introduction to C++
Learning Objectives
Introduction
Basic Features of C++
Object-Oriented Programming
Bond Pricing Program: Console Application
Summary
Appendix 2A: User Inputs in C++Builder
Bond Pricing Program Without Error Trapping
Bond Pricing Program With Error Trapping
Derivatives Valuation
Learning Objectives
Introduction
Review of Valuation Issues
Approaches to Valuation
Market Comparables Approach (MCA)
Cash Flow Adjusted Approach (CFAA)
Discount Factor Adjusted Approach (DFAA)
Selecting the Best Approach to Valuation
Tools of the Trade
Learning Objectives
Introduction
Secant Method
Fitting the Term Structure of Interest Rates
Monte Carlo Simulation
Lattice Procedures
Summary
Appendix 4A: C++ Builder Form for Yield to
Maturity
Valuing Forward Contracts and Interest Rate Swaps
Learning Objectives
Introduction
Valuing Forward Contracts
Valuing Futures Contracts
Valuing Interest Rate Swaps
Summary
Appendix 5A: C++Builder Form for Valuing
Forward Contracts
Valuing Stock Options
Learning Objectives
Introduction
Black-Scholes Option Pricing Model and DLLs
Implied Volatility
American-Style Option Valuation with the
Binomial Lattice
Summary
Building Interest Rate Trees
Learning Objectives
Introduction
Interest Rate Modeling
Equilibrium Swap Rates
Caps and Floors Based on the Black, Derman, and Toy Model in C++
Summary
Appendix 7A: Forward Rates from Par Bond Yields
Appendix 7B: State Contingent Claim Values
Mortgage-Backed Securities and Monte Carlo Simulation
Learning Objectives
Introduction
Mortgage-Backed Securities and Prepayment
Models
Monte Carlo Simulation
Mortgage-Backed Securities Valuation
Summary
Value-at-Risk and Summary
Learning Objectives
Introduction
Value-at-Risk
Review
Summary
Selected Readings
Index

GRINOLD / KAHN Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

Table of Contents

Preface
Acknowledgments
Ch. 1 Introduction 1

Pt. 1 Foundations

Ch. 2 Consensus Expected Returns: The Capital Asset Pricing Model 11
Ch. 3 Risk 41
Ch. 4 Exceptional Return, Benchmarks, and Value Added 87
Ch. 5 Residual Risk and Return: The Information Ratio 109
Ch. 6 The Fundamental Law of Active Management 147

Pt. 2 Expected Returns and Valuation

Ch. 7 Expected Returns and the Arbitrage Pricing Theory 173
Ch. 8 Valuation in Theory 199
Ch. 9 Valuation in Practice 225

Pt. 3 Information Processing

Ch. 10 Forecasting Basics 261
Ch. 11 Advanced Forecasting 295
Ch. 12 Information Analysis 315
Ch. 13 The Information Horizon 347

Pt. 4 Implementation

Ch. 14 Portfolio Construction 377
Ch. 15 Long/Short Investing 419
Ch. 16 Transactions Costs, Turnover, and Trading 445
Ch. 17 Performance Analysis 477
Ch. 18 Asset Allocation 517
Ch. 19 Benchmark Timing 541
Ch. 20 The Historical Record for Active Management 559
Ch. 21 Open Questions 573
Ch. 22 Summary 577

App. A: Standard Notation 581
App. B: Glossary 583
App. C Return and Statistics Basics 587
Index 591

CRACK Heard on The Street : Quantitative Questions from Wall Street Job Interviews
CRACK: Heard on The Street : Quantitative Questions from Wall Street Job Interviews CRACK: Heard on The Street : Quantitative Questions from Wall Street Job Interviews [DOWNLOAD: ADOBE READER] New! (January 2004) DOWNLOAD: ADOBE READER

Table of Contents

1 Introduction 1
2 Purely Quantitative & Logic Questions 7
3 Derivatives Questions 21
4 Other Financial Economics Questions 35
5 Statistics and Programming Questions 41
5.1 Statistics Questions 41
5.2 Programming Questions 47
6 Non-Quantitative Questions 49
6.1 Questions about You 50
6.2 Questions about Your Job Awareness 54
6.3 Questions about the Markets or the Economy 56
6.4 Financial Management Questions 57
6.5 Thinking Questions 58
A Purely Quantitative & Logic Answers 61
B Derivatives Answers 119
C Other Financial Economics Answers 193
D Statistics Answers 215
E Non-Quantitative Answers (Selected) 237
F Basic Option Pricing Theory 243
F.1 Logarithms and Exponentials 243
F.2 Normality and Lognormality 248
F.3 Prices, Returns and Compounding 253
F.4 Option Pricing 258
F.4.1 A Discussion of the Black-Scholes Formula 265
F.5 Deriving the Black-Scholes Formula 268
F.5.1 A Derivation of the Black-Scholes Formula 268
F.5.2 Discussion of the Derivation 272
G HP 17B and 19B Source Code 275
G.1 Black-Scholes Call and Put Prices 275
G.2 Binomial Option Pricing 279
G.3 Macaulay Duration 281
G.4 Macaulay Convexity 281
References for Further Research 285
Index 303

OSBORNE The Stock Market and Finance From a Physicist's Viewpoint
The Stock Market and Finance From a Physicist's Viewpoint

MANTEGNA / STANLEY An Introduction to Econophysics: Correlations and Complexity in Finance
An Introduction to Econophysics: Correlations and Complexity in Finance

Table of Contents

Preface
1 Introduction 1
2 Efficient market hypothesis 8
3 Random walk 14
4 Levy stochastic processes and limit theorems 23
5 Scales in financial data 34
6 Stationarity and time correlation 44
7 Time correlation in financial time series 53
8 Stochastic models of price dynamics 60
9 Scaling and its breakdown 68
10 ARCH and GARCH processes 76
11 Financial markets and turbulence 88
12 Correlation and anticorrelation between stocks 98
13 Taxonomy of a stock portfolio 105
14 Options in idealized markets 113
15 Options in real markets 123
App. A Notation guide 130
App. B Martingales 136
References 137
Index 145

CAMPBELL / LO / MACKINLAY The Econometrics of Financial Markets
Econometrics of Financial Markets

Table of Contents

List of Figures
List of Tables
Preface
1 Introduction 3
2 The Predictability of Asset Returns 27
3 Market Microstructure 83
4 Event-Study Analysis 149
5 The Capital Asset Pricing Model 181
6 Multifactor Pricing Models 219
7 Present-Value Relations 253
8 Intertemporal Equilibrium Models 291
9 Derivative Pricing Models 339
10 Fixed-Income Securities 395
11 Term-Structure Models 427
12 Nonlinearities in Financial Data 467
App. A.1 Linear Instrumental Variables 527
App. A.2 Generalized Method of Moments 532
App. A.3 Serially Correlated and Heteroskedastic Errors 534
App. A.4 GMM and Maximum Likelihood 536
References 541
Author Index 587
Subject Index 597

TALEB Dynamic Hedging : Managing Vanilla and Exotic Options
Dynamic Hedging: Managing Vanilla and Exotic Options

Table of Contents

Introduction: Dynamic Hedging 1
1 Introduction to the Instruments 9
2 The Generalized Option 38
3 Market Making and Market Using 48
4 Liquidity and Liquidity Holes 68
5 Arbitrage and the Arbitrageurs 80
6 Volatility and Correlation 88
7 Adapting Black-Scholes-Merton: The Delta 115
8 Gamma and Shadow Gamma 132
9 Vega and the Volatility Surface 147
10 Theta and Minor Greeks 167
11 The Greeks and Their Behavior 191
12 Fungibility, Convergence, and Stacking 208
13 Some Wrinkles of Option Markets 222
14 Bucketing and Topography 229
15 Beware the Distribution 238
16 Option Trading Concepts 256
17 Binary Options: European Style 273
18 Binary Options: American Style 295
19 Barrier Options (I) 312
20 Barrier Options (II) 347
21 Compound, Choosers, and Higher Order Options 376
22 Multiasset Options 383
23 Minor Exotics: Lookback and Asian Options 403
Module A Brownian Motion on a Spreadsheet, a Tutorial 415
Module B Risk Neutrality Explained 426
Module C Numeraire Relativity and the Two-Country Paradox 431
Module D Correlation Triangles: A Graphical Case Study 438
Module E The Value-at-Risk 445
Module F Probabilistic Rankings in Arbitrage 453
Module G Option Pricing 459
Notes 479
Bibliography 490
Index 499

ALEXANDER Market Models : A Guide to Financial Data Analysis
ALEXANDER: Market Models : A Guide to Financial Data Analysis

Table of Contents

Preface
Acknowledgements

Pt. I Volatility and Correlation Analysis

Ch. 1 Understanding Volatility and Correlation 3
Ch. 2 Implied Volatility and Correlation 21
Ch. 3 Moving Average Models 49
Ch. 4 GARCH Models 63
Ch. 5 Forecasting Volatility and Correlation 117

Pt. II Modelling the Market Risk of Portfolios

Ch. 6 Principal Component Analysis 143
Ch. 7 Covariance Matrices 179
Ch. 8 Risk Measurement in Factor Models 229
Ch. 9 Value-at-Risk 249
Ch. 10 Modelling Non-normal Returns 285

Pt. III Statistical Models for Financial Markets

Ch. 11 Time Series Models 315
Ch. 12 Cointegration 347
Ch. 13 Forecasting High-Frequency Data 389

Technical Appendices 409
References 453
Tables 467
Index 475

WILMOTT / HOWISON / DEWYNNE The Mathematics of Financial Derivatives : A Student Introduction
The Mathematics of Financial Derivatives

Table of Contents

Preface

Pt. 1 Basic Option Theory

1 An Introduction to Options and Markets 3
2 Asset Price Random Walks 18
3 The Black-Scholes Model 33
4 Partial Differential Equations 58
5 The Black-Scholes Formulae 71
6 Variations on the Black-Scholes Model 90
7 American Options 106

Pt. 2 Numerical Methods 133

8 Finite-difference Methods 135
9 Methods for American Options 165
10 Binomial Methods 180

Pt. 3 Further Option Theory 195

11 Exotic and Path-dependent Options 197
12 Barrier Options 206
13 A Unifying Framework for Path-dependent Options 213
14 Asian Options 222
15 Lookback Options 236
16 Options with Transaction Costs 252

Pt. 4 Interest Rate Derivative Products 263

17 Interest Rate Derivatives 265
18 Convertible Bonds 286

Hints to Selected Exercises 295
Bibliography 308
Index 312

MURPHY Technical Analysis of the Financial Markets : A Comprehensive Guide to Trading Methods and Applications
Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications

Table of Contents

About the Author
About the Contributors
Introduction
Acknowledgments
1 Philosophy of Technical Analysis 1
2 Dow Theory 23
3 Chart Construction 35
4 Basic Concepts of Trend 49
5 Major Reversal Patterns 99
6 Continuation Patterns 129
7 Volume and Open Interest 157
8 Long Term Charts 181
9 Moving Averages 195
10 Oscillators and Contrary Opinion 225
11 Point and Figure Charting 265
12 Japanese Candlesticks 297
13 Elliott Wave Theory 319
14 Time Cycles 343
15 Computers and Trading Systems 377
16 Money Management and Trading Tactics 393
17 The Link Between Stocks and Futures: Intermarket Analysis 413
18 Stock Market Indicators 433
19 Pulling It All Together - A Checklist 453
A Advanced Technical Indicators 463
B Market Profile 475
C The Essentials of Building a Trading System 493
D Continuous Futures Contracts 505
Glossary 511
Selected Bibliography 523
Selected Resources 527
Index 531

WOLFRAM The Mathematica Book. See also a new book WOLFRAM: The Mathematica Book, Fifth Edition (August 2003). WOLFRAM: The Mathematica Book, 
Fifth Edition (August 2003)
The Mathematica Book

Table of Contents

A Tour of Mathematica 1

Pt. 1 A Practical Introduction to Mathematica

1.0 Running Mathematica 26
1.1 Numerical Calculations 29
1.2 Building Up Calculations 38
1.3 Using the Mathematica System 44
1.4 Algebraic Calculations 62
1.5 Symbolic Mathematics 78
1.6 Numerical Mathematics 100
1.7 Functions and Programs 108
1.8 Lists 113
1.9 Graphics and Sound 133
1.10 Input and Output in Notebooks 178
1.11 Files and External Operations 208
1.12 Special Topic: The Internals of Mathematica 220

Pt. 2 Principles of Mathematica

2.1 Expressions 232
2.2 Functional Operations 242
2.3 Patterns 261
2.4 Transformation Rules and Definitions 285
2.5 Evaluation of Expressions 310
2.6 Modularity and the Naming of Things 363
2.7 Strings and Characters 391
2.8 Textual Input and Output 409
2.9 The Structure of Graphics and Sound 472
2.10 Manipulating Notebooks 558
2.11 Files and Streams 613
2.12 MathLink and External Program Communication 647
2.13 Global Aspects of Mathematica Sessions 692

Pt. 3 Advanced Mathematics in Mathematica

3.1 Numbers 714
3.2 Mathematical Functions 736
3.3 Algebraic Manipulation 789
3.4 Manipulating Equations 811
3.5 Calculus 830
3.6 Series, Limits and Residues 860
3.7 Linear Algebra 871
3.8 Numerical Operations on Data 893
3.9 Numerical Operations on Functions 909
3.10 Mathematical and Other Notation 939

Formula Gallery 969
Graphics Gallery 979
Appendix Mathematica Reference Guide
Index 1381

BJORK Arbitrage Theory in Continuous Time
Arbitrage Theory in Continuous Time See also a new Second Edition (2004) BJORK: Arbitrage Theory in Continuous Time BJORK: Arbitrage Theory in Continuous Time,
Second Edition (2004)

Table of Contents

1 Introduction 1
2 The Binomial Model 6
3 Stochastic Integrals 27
4 Differential Equations 52
5 Portfolio Dynamics 69
6 Arbitrage Pricing 76
7 Completeness and Hedging 99
8 Parity Relations and Delta Hedging 108
9 Several Underlying Assets 119
10 Incomplete Markets 135
11 Dividends 154
12 Currency Derivatives 167
13 Barrier Options 182
14 Stochastic Optimal Control 198
15 Bonds and Interest Rates 228
16 Short Rate Models 243
17 Martingale Models for the Short Rate 253
18 Forward Rate Models 267
19 Change of Numeraire 275
20 Forwards and Futures 298
References 304
Index 308

NICHOLAS Market-Neutral Investing : Long/Short Hedge Fund Strategies
Market-Neutral Investing : Long/Short Hedge Fund Strategies

Table of Contents

Acknowledgments
Foreword
Introduction 1
1 Investing in Relationships 5
2 Developments in the Hedge Fund Industry 19
3 Making an Investment in Market-Neutral Strategies 27
4 Convertible Arbitrage 57
5 Fixed-Income Arbitrage 89
6 Mortgage-Backed Securities Arbitrage 119
7 Merger Arbitrage 145
8 Equity Hedge 177
9 Equity Market-Neutral and Statistical Arbitrage 203
10 Relative Value Arbitrage 231
Afterword 247
Glossary 249
Index 255

NATENBERG Option Volatility & Pricing : Advanced Trading Strategies and Techniques
Option Volatility and Pricing : advanced Trading Strategies and Techniques

Table of Contents

Preface to the First Edition
Preface to the Second Edition
1 The Language of Options 1
2 Elementary Strategies 13
3 Introduction to Theoretical Pricing Models 35
4 Volatility 51
5 Using an Option's Theoretical Value 81
6 Option Values and Changing Market Conditions 95
7 Introduction to Spreading 127
8 Volatility Spreads 137
9 Risk Considerations 173
10 Bull and Bear Spreads 199
11 Option Arbitrage 213
12 Early Exercise of American Options 241
13 Hedging with Options 257
14 Volatility Revisited 273
15 Stock Index Futures and Options 301
16 Intermarket Spreading 331
17 Position Analysis 353
18 Models and the Real World 385
Appendix A A Glossary of Option and Related Terminology 419
Appendix B The Mathematics of Option Pricing 431
Appendix C Characteristics of Volatility Spreads 449
Appendix D What's the Right Strategy? 451
Appendix E Synthetic and Arbitrage Relationships 453
Appendix F Recommended Reading 457
Index 463

OKSENDAL Stochastic Differential Equations : An Introduction With Applications, 6th edition (Universitext), December 2003
OKSENDAL: Stochastic Differential Equations : An Introduction with Applications, 6th edition (Universitext)

Table of Contents

I Introduction 1
II Some Mathematical Preliminaries 5
III Ito Integrals 18
IV Ito Processes and the Ito Formula 40
V Stochastic Differential Equations 59
VI The Filtering Problem 75
VII Diffusions: Basic Properties 103
VIII Other Topics in Diffusion Theory 124
IX Applications to Boundary Value Problems 160
X Application to Optimal Stopping 183
XI Application to Stochastic Control 212
Appendix A: Normal Random Variables 236
Appendix B: Conditional Expectations 239
Appendix C: Uniform Integrability and Martingale Convergence 241
Solutions and additional hints to some of the exercises 244
Bibliography 252
List of Frequently Used Notation and Symbols 261
Index 265

PRISMAN Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab
Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab

Table of Contents

Preface xv
Software xxii

1 Theory of Arbitrage 1

1.1 A Basic One-Period Model 1
1.2 Defining the No-Arbitrage Condition 5
1.2.1 Identifying an Arbitrage Portfolio 8
1.2.2 Law of One Price 11
1.3 Pricing by Replication 13
1.3.1 Three Special Contingent Cash Flows 14
1.4 Stochastic Discount Factors (SDFs) 18
1.4.1 SDFs and Risk-Neutral Probability 22
1.5 Concluding Remarks 28
1.6 Questions and Problems 29
1.7 Appendix 32
1.7.1 Complete Market 32
1.7.2 Incomplete Market 34
1.7.3 Incomplete Market and Arbitrage Bounds 35
1.7.4 The No-Arbitrage Condition and Its Geometric Exposition 42

2 Arbitrage Pricing: Equity Markets 47

2.1 Market Structure and the Risk-Free Rate 47
2.2 One-Period Binomial Model 50
2.3 Valuing Two Propositions 57
2.4 Forwards: A First Look 61
2.4.1 Forward Contract on a Security 62
2.4.2 Forward Contract on the Exchange Rate 67
2.5 Swaps: A First Look 72
2.5.1 Currency Swaps 72
2.5.2 Equity (Asset) Swap 74
2.6 General Valuation 77
2.6.1 The Risk-Free Rate of Interest Implicit in the Market 78
2.6.2 The Two Propositions 78
2.6.3 Forwards 79
2.6.4 Swaps 83
2.7 Concluding Remarks 86
2.8 Questions and Problems 87

3 Pricing by Arbitrage: Debt Markets 91

3.1 Setting the Framework 91
3.2 Arbitrage in the Debt Market 94
3.2.1 Distinct Features of the Debt Market 99
3.2.2 Defining the No-Arbitrage Condition 101
3.3 Discount Factors 104
3.4 Discount Factors and Continuous Compounding 108
3.4.1 Continuous Compounding 108
3.5 Concluding Remarks 110
3.6 Questions and Problems 111
3.7 Appendix 113
3.7.1 No-Arbitrage Condition in the Bond Market 113

4 Fundamentals of Options 115

4.1 Extending the Simple Model 115
4.2 Two Types of Options 116
4.3 Trading Strategies 125
4.3.1 Portfolios of Calls and Puts with the Same Maturity Date 127
4.4 Payoff Diagrams and Relative Pricing 141
4.4.1 Pricing Bounds Obtained by Relative Pricing Results 143
4.4.2 Put-Call Parity 148
4.5 From Payoffs to Portfolios 154
4.6 Concluding Remarks 164
4.7 Questions and Problems 165
4.8 Appendix 168
4.8.1 Explanation of Stripay 168
4.8.2 Procedural Issues 169

5 Risk-Neutral Probability and the SDF 183

5.1 Infinite vs. Finite States of Nature 184
5.2 SDF for an Infinite [Omega] 187
5.3 Risk-Neutral Probability and the SDF 191
5.4 A First Look at Stock Prices 193
5.5 The Distribution of the Rate of Return 196
5.6 Paths of the Price Process 204
5.7 Specifying a Risk-Neutral Probability 208
5.8 Lognormal Distributions and the SDF 213
5.9 The Stochastic Discount Factor Function 215
5.10 Concluding Remarks 220
5.11 Questions and Problems 221

6 Valuation of European Options 223

6.1 Valuing a Call Option 224
6.2 Valuing a Put Option 230
6.3 Combinations across Time 234
6.4 Dividends and Option Pricing 255
6.5 Volatility and Implied Volatility 259
6.5.1 Estimating Volatility from Historical Data 259
6.5.2 Implied Volatility 261
6.6 Concluding Remarks 265
6.7 Questions and Problems 266
6.8 Appendix 268
6.8.1 Estimating Implied Volatility Using Trial and Error 268

7 Sensitivity Measures 271

7.1 The Theta Measure 272
7.2 The Delta Measure 281
7.3 The Gamma Measure 288
7.4 The Vega Measure 293
7.5 The Rho Measure 298
7.6 Concluding Remarks 302
7.7 Questions and Problems 304
7.8 Appendix 307
7.8.1 Derivation of Sensitivity Measures 307
7.8.2 Sensitivities of Other Options 312
7.8.3 Signs of the Sensitivities 317

8 Hedging with the Greeks 323

8.1 Hedging: The General Philosophy 323
8.2 Delta Hedging 326
8.2.1 Solving for a Delta Neutral Portfolio 326
8.3 Delta Neutral Portfolios 341
8.4 General Hedging 347
8.5 Optimizing Hedged Portfolios 364
8.6 Concluding Remarks 370
8.7 Questions and Problems 371

9 The Term Structure and Its Estimation 373

9.1 The Term Structure of Interest Rates 374
9.1.1 Zero-Coupon, Spot, and Yield Curves 377
9.2 Smoothing of the Term Structure 383
9.2.1 Smoothing and Continuous Compounding 389
9.3 Forward Rate 393
9.3.1 Forward Rate: A Classical Approach 393
9.3.2 Forward Rate: A Practical Approach 396
9.4 A Variable Rate Bond 399
9.5 Concluding Remarks 402
9.6 Questions and Problems 404
9.7 Appendix 408
9.7.1 Theories of the Shape of the Term Structure 408
9.7.2 Approximating Functions 411

10 Forwards, Eurodollars, and Futures 413

10.1 Forward Contracts: A Second Look 414
10.2 Valuation of Forward Contracts 415
10.3 Forward Price of Assets 423
10.3.1 Forward Contracts, Prior to Maturity, of Assets That Pay Known Cash Flows 427
10.3.2 Forward Price of a Dividend-Paying Stock 430
10.4 Eurodollar Contracts 432
10.4.1 Forward Rate Agreements (FRAs) 432
10.5 Futures Contracts: A Second Look 435
10.6 Deterministic Term Structure (DTS) 439
10.7 Futures Contracts in a DTS Environment 441
10.8 Concluding Remarks 448
10.9 Questions and Problems 449

11 Swaps: A Second Look 453

11.1 A Fixed-for-Float Swap 453
11.1.1 Valuing an Existing Swap 458
11.2 Currency Swaps 461
11.3 Commodity and Equity Swaps 472
11.3.1 Equity Swaps 475
11.4 Forwards and Swaps: A Visualization 478
11.5 Concluding Remarks 479
11.6 Questions and Problems 481

12 American Options 485

12.1 American Call Option 486
12.1.1 Arbitrage Bounds 486
12.1.2 Early Exercise Decision 487
12.2 American Put Options 488
12.2.1 Arbitrage Bounds 488
12.2.2 Early Exercise Decision 490
12.3 Put--Call Parity 492
12.4 The Effect of Dividends 495
12.4.1 A Call Option 495
12.4.2 A Put Option 501
12.5 Concluding Remarks 502
12.6 Questions and Problems 502

13 Binomial Models I 505

13.1 Setting the Premises 505
13.2 No-Arbitrage and SDFs 511
13.2.1 No-Arbitrage 511
13.2.2 SDF 512
13.3 Valuation 521
13.3.1 Valuation with SDFs 521
13.3.2 Valuation by Replication 522
13.4 Numerical Valuation 529
13.4.1 Price Evolution 529
13.4.2 European Call 530
13.4.3 European Put 539
13.4.4 American Options 546
13.5 Concluding Remarks 554
13.6 Questions and Problems 555

14 Binomial Models II 557

14.1 Binomial Model and Black-Scholes Formula 558
14.1.1 Binomial vs. Lognormal 558
14.1.2 Numerical Implementations 562
14.1.3 The Effect of Dividends 568
14.2 Risk-Neutral Probabilities 571
14.3 Futures and Forwards: A Symbolic Example 579
14.4 Brownian Motion 585
14.5 Concluding Remarks 590
14.6 Questions and Problems 592
14.7 Appendix 593
14.7.1 The Black-Scholes Formula as a Limit of the Binomial Formula 593

15 The Black-Scholes Formula 599

15.1 An Overview 599
15.2 The Price Process: A Second Look 602
15.2.1 Stochastic Evolution: The Discrete Case 605
15.3 Simulation of Stochastic Evolution 608
15.4 Stochastic Evolution 615
15.5 Ito's Lemma 621
15.5.1 Heuristic Proofs of Ito's Lemma 623
15.5.2 Examples Utilizing Ito's Lemma 628
15.6 The Black-Scholes Differential Equation 632
15.6.1 A Second Derivation 640
15.7 Reconciliation with Risk-Neutral Valuation 642
15.8 American vs. European 644
15.9 Concluding Remarks 649
15.10 Questions and Problems 651
15.11 Appendix 652
15.11.1 A Change over an Instant 652
15.11.2 The Limit of a Random Variable 656
15.11.3 A More Rigorous Insight into Ito's Lemma 666

16 Other Types of Options 673

16.1 Early Exercise, Dividends and Binomial Models 674
16.2 Indexes, Foreign Currency, and Futures 677
16.2.1 Stock Index Options 677
16.2.2 Currency Options 679
16.2.3 Options on Futures Contracts 682
16.3 Examples of Exotic Options 688
16.3.1 Binary (Digital) Options 689
16.3.2 Combinations of Binary and Plain Vanilla Options 694
16.3.3 Gap Options 695
16.3.4 Paylater (Cash on Delivery) Options 700
16.4 Interest Rate Derivatives 704
16.4.1 Black's Model 705
16.4.2 The Black, Derman, and Toy Model 714
16.5 Concluding Remarks 729
16.6 Questions and Problems 731

17 The End or the Beginning? 735
Index 743

CLEWLOW / STRICKLAND Implementing Derivatives Models : Numerical Methods
Implementing Derivatives Models : Numerical Methods

Table of Contents

Preface
Acknowledgements
Notation

Pt. 1 Implementing Models in a Generalised Black-Scholes World

Ch. 1 The Black-Scholes World, Option Pricing and Numerical Techniques 3
Ch. 2 The Binomial Method 10
Ch. 3 Trinomial Trees and Finite Difference Methods 52
Ch. 4 Monte Carlo Simulation 82
Ch. 5 Implied Trees and Exotic Options 134

Pt. 2 Implementing Interest Rate Models

Ch. 6 Option Pricing and Hedging and Numerical Techniques for Pricing Interest Rate Derivatives 181
Ch. 7 Term Structure Consistent Models 208
Ch. 8 Constructing Binomial Trees for the Short Rate 233
Ch. 9 Constructing Trinomial Trees for the Short Rate 255
Ch. 10 The Heath, Jarrow and Morton Model 290

References 300
Index 304

BAXTER / RENNIE Financial Calculus : An Introduction to Derivative Pricing
Financial Calculus : An Introduction to Derivative Pricing

Table of Contents

Preface
The parable of the bookmaker 1
Ch. 1 Introduction 3
Ch. 2 Discrete processes 10
Ch. 3 Continuous processes 44
Ch. 4 Pricing market securities 99
Ch. 5 Interest rates 128
Ch. 6 Bigger models 178
App. A1: Further reading 201
App. A2: Notation 205
App. A3: Answers to exercises 209
App. A4: Glossary of technical terms 216
Index 228

JAMES / WEBBER Interest Rate Modelling : Financial Engineering
Interest Rate Modelling

Table of Contents

Part 1: Introduction to interest rate modelling

1. Introduction to interest rates

1.1 Interest rate behaviour
1.2 Basic concepts
1.3 Interest rate markets
1.4 Historical and current data
1.5 Uses of interest rate models
1.6 Conclusion

2. Interest rates in history

2.1 Interest rates in monetary history
2.2 Characteristics of interest rate behaviour

3. Introduction to interest rate modelling

3.1 Yield curve basics
3.2 Describing interest rate processes
3.3 Introducton to interest rate models
3.4 Categories of interest rate model
3.5 The role of the short rate

4. Interest rate models: theory

4.1 Summary of valuation
4.2 A theoretical market framework
4.3 Fundamentals of pricing
4.4 valuing by change of numeraire
4.5 Derivatives in the extended Vasicek model

5. Basic modelling tools

5.1 Introduction to valuation
5.2 Introduction to estimation
5.3 Statistical tests
5.4 Yield curve stripping
5.5 The convexity adjustment

6. Densities and distributions

6.1 The density function
6.2 Kernel methods
6.3 Boundary behaviour
6.4 Interest rate models at extreme values of interest rates
6.5 Tail distributions

Part II Interest rate models

7. Affine models

7.1 Affine term structure models
7.2 Interpreting the state variables
7.3 Types of affine model
7.4 Examples of one-factor affine models
7.5 Examples of n-factor affine models
7.6 A general framework for affine models

8. Market models and the Heath, Jarrow and Morton framework

8.1 Introduction to the Heath, Jarrow and Morton model
8.2 Volatility functions in HJM
8.3 Market models
8.4 General marketmodels

9. Other interest rate models

9.1 Consol models
9.2 Price kernet models
9.3 Positive interest rate models
9.4 Non-linear models

10. General formulations of interest rate models

10.1 Jump processes
10.2 Random field models
10.3 A general model
10.4 Jump models

11. Economic models

11.1 Economics and interest rates
11.2 An economically motivated financial model of interest rates
11.3 An IS-LM based model
11.4 IS-LM, hyperinflation and extended Vasicek
11.5 The general equilibrium framework
11.6 Interpreting the price kernel

Part III Valuation methods

12. Finite difference methods

12.1 The Feynman-Kac Equation
12.2 Discretising the PDE
12.3 Simplifying the PDE
12.4 Explicit methods
12.5 Implicit methods
12.6 The Crank-Nicolson method
12.7 Comparison of methods
12.8 Implicit boundary conditions
12.9 Fitting to an initial term structure
12.10 Finite difference methods in N dimensions
12.11 Operator splitting
12.12 A two-dimensional PDE
12.13 Solving a PDDE

13. Valuation: the Monte Carlo method

13.1 The basic Monte Carlo method
13.2 Speed-up methods
13.3 Sampling issues
13.4 Simulation methods for HJM models

14. Lattice methods

14.1 Introduction to lattice methods
14.2 Issues in constructing a lattice
14.3 Examples of lattice methods
14.4 Calibration to market prices
14.5 The explicit finite difference method
14.6 Lattices and the Monte Carlo method
14.7 Non-recombining lattices
14.8 Conclusions

Part IV Calibration and estimation

15. Modelling the yield curve

15.1 Stripping the yield curve
15.2 Fitting using parameterised curves
15.3 Fitting the yield curve using splines
15.4 Nelson and Siegel curves
15.5 Comparison of families of curves
15.6 Kernel methods of yield curve estimations
15.7 LP and regression methods

16. Principal components analysis

16.1 Volatility structures
16.2 Identifying empirical volatility factors
16.3 Calibrating whole yield curve methods
16.4 Processes on manifolds
16.5 Analysis of dynamical systems
16.6 Conclusions

17. Estimation methods: GMM and ML

17.1 GMM estimation
17.2 Implementation issues
17.3 The efficient method of moments (EMM)
17.4 Maximum likelihood methods
17.5 Hierarchy of procedures

18. Further estimation methods

18.1 Introduction
18.2 Filtering approaches to estimation
18.3 The extended Kalman Filter
18.4 GARCH models
18.5 Extensions of GARCH
18.6 Interest rate models and GARCH
18.7 Artificial neural nets (ANNs)

19. Interest rates and implied pricing

19.1 Problems with interest rate models
19.2 Key relationships
19.3 The interest rate case
19.4 The implied pricing method
19.5 Regularisation functions
19.6 Patching tails onto pricing densities

Afterword
Notation
Glossary of mathematical, market and model terms
References
Author Index
Subject Index

CBOT OPTIONS INSTITUTE Options : Essential Concepts and Trading Strategies
Options : Essential Concepts and Trading Strategies

Table of Contents

Preface
Acknowledgments
About the Authors

Ch. 1 The History of Options 1

Pt. 1 Essential Concepts

Ch. 2 Fundamentals of Options 19
Ch. 3 Volatility Explained 57
Ch. 4 Options Strategies: Analysis and Selection 79

Pt. 2 Investing and Trading Strategies

Ch. 5 Investing and Trading Strategies for the Individual Investor 139
Ch. 6 Strategies for Institutional Investors 171
Ch. 7 How the Trading Floor Operates 229
Ch. 8 How Market Makers Trade 253

Pt. 3 Real-Time Applications

Ch. 9 Institutional Case Studies 277
Ch. 10 The Predictive Power of Options 357
Ch. 11 Electronic Resources 389

Glossary 409
Index 425

NIELSEN Pricing and Hedging of Derivative Securities
Pricing and Hedging of Derivative Securities

Table of Contents

1. Stochastic Processes
2. Ito Calculus
3. Gaussian Processes
4. Securities and Trading Strategies
5. The Martingale Valuation Principle
6. The Black-Scholes Model
7. Gaussian Term Structure Models
Appendix A Measure and Probability
Appendix B Lebesgue Integrals and Expectations
Appendix C The Heat Equation
Appendix D Suggested Solutions to Exercises for Chapters 1-7
Appendix E Suggested Solutions to Exercises for Appendix A and B

BENNINGA Financial Modeling
BENNINGA: Financial Modeling

Table of Contents

Preface
Preface to the First Edition

I Corporate Finance Models 1

1 Basic Financial Calculations 3
2 Calculating the Cost of Capitol 27
App. 1 A Rule of Thumb for Calculating Debt Betas 49
App. 2 Why Is [beta] Such a Good Measure of Risk? Portfolio [beta] versus Individual Stock [beta] 51
App. 3 Getting Data from the Internet 52
3 Financial Statement Modeling 57
App. 1 Calculating the Free Cash Flows When There Are Negative Profits 83
App. 2 Accelerated Depreciation in Pro Forma Models 84
4 Using Financial Statement Models for Valuation 89
5 The Financial Analysis of Leasing 101
App The Tax and Accounting Treatment of Leases 111
6 The Financial Analysis of Leveraged Leases 115

II Portfolio Models 129

7 Portfolio Models - Introduction 131
App. 1 Adjusting for Dividends 146
App. 2 Continuously Compounded versus Geometric Returns 148
8 Calculating the Variance-Covariance Matrix 151
9 Calculating Efficient Portfolios When There Are No Short-Sale Restrictions 161
Appendix 179
10 Estimating Betas and the Security Market Line 185
11 Efficient Portfolios without Short Sales 199
12 Value at Risk (VaR) 209
App How to Bootstrap: Making a Bingo Card in Excel 219

III Option-Pricing Models 229

13 An Introduction to Options 231
14 The Binomial Option-Pricing Model 253
15 The Lognormal Distribution 277
16 The Black-Scholes Model 297
17 Portfolio Insurance 311
18 Real Options 329
19 Early Exercise Boundaries 343
App Proof 358

IV Bonds and Duration 361

20 Duration 363
21 Immunization Strategies 381
22 Modeling the Term Structure 393
23 Calculating Default-Adjusted Expected Bond Returns 401
24 Duration and the Cheapest-to-Deliver Problem for Treasury Bond Futures Contracts 417

V Technical Considerations 429

25 Random Numbers 431
26 Data Tables 443
27 Matrices 449
28 The Gauss-Seidel Method 457
29 Excel Functions 461
30 Some Excel Hints 479

VI Introduction to Visual Basic for Applications 491

31 User-Defined Functions with Visual Basic for Applications 493
App Cell Errors in Excel and VBA 516
32 Types and Loops 519
33 Macros and User Interaction 539
34 Arrays 557
35 Objects 581
App Excel Object Hierarchy 601
References 603
Index 611

BOUCHAUD / POTTERS Theory of Financial Risks: From Statistical Physics to Risk Management
Theory of Financial Risks: From statistical Physics to Risk Management

Table of Contents

Foreword
Preface
1 Probability theory: basic notions 1
2 Statistics of real prices 47
3 Extreme risks and optimal portfolios 91
4 Futures and options: fundamental concepts 130
5 Options: some more specific problems 186
Short glossary of financial terms 209
Index of symbols 211
Index 217

DEROSA Options on Foreign Exchange
Options on Foreign Exchange

Table of Contents

Preface

Ch. 1 Introduction to Currency Options 1

The Currency Option Market 1
Option Basics 3
The Variety of Currency Options 3
The Variety of Market Participants 5
Some Additional Option Terminology 6

Ch. 2 Foreign Exchange Basics 9

The International Monetary System 9
Foreign Exchange Transactions and Market Conventions 13
The Interest Parity Theorem 14
Spot and Forward Contracts 18
Currency Futures 19

Ch. 3 Trading Currency Options 35

Over The Counter Currency Options 35
Listed Options on Actual Currency 37
Currency Futures Options 47
Listed Currency Warrants 51
Options on the USDX Futures 53

Ch. 4 Payoff Patterns at Expiration 55

Option Values at Expiration 55
Basic Analytical Concepts 56
Long and Short Positions in Futures Options 57
Option Strategies for Currency Risk Management 63
Directional Strategies 68
Volatility Biased Strategies 72
Writing Covered Calls for Income Enhancement 84

Ch. 5 Arbitrage and Parity Theorems 89

Elementary Arbitrage Theorems 89
Put-Call Parity for Currency Options 93
The Triangular Option Arbitrage Theorem 98
Synthetic Forward Contracts 98

Ch. 6 Valuation of European Currency Options 101

The Black-Scholes-Garman-Kohlhagen Model 101
Sensitivity of Option Premiums to Input Parameters 110
Remarks on Volatility 123

Ch. 7 Practical Applications of the European Currency Option Pricing Model 125

Valuation of European Currency Calls and Puts 125
Using Option Partial Derivatives 129
Topics on Volatility 138
An Example of the Analysis of a Trading Strategy 151

Ch. 8 American Currency Options 157

The General Theory of American Currency Option Pricing 157
The Economics of Early Exercise 159
The Binomial Model for American Currency Options 166
The Binomial Model for European Currency Options 175
American Option Valuation by Analytical Approximation 177
Empirical Tests of the Currency Option Pricing Model and the Behavior of Exchange Rates 180
Extensions of the Currency Option Model 188

Ch. 9 Currency Futures Options and Listed Currency Warrants 197

The Nature of Currency Futures Contracts and Their Relationships to Spot and Forward Prices 198
Arbitrage and Parity Theorems for Currency Futures Options 203
Black's Model for European Currency Futures Options 210
Synthetic Futures Contracts 216
The Valuation of American Currency Futures Options 216
Empirical Tests of the Currency Futures Option Model 221
Listed Currency Warrants 222

Ch. 10 An Introduction to Exotic Currency Options 227

Knock-out Currency Options 227
Lookback Currency Options 234
The Margrabe Option 239
Average or "Asian" Currency Options 246
Compound Options 251
Other Exotic Options 253
Selected Bibliography 257
Index 267

HAMILTON Time Series Analysis
HAMILTON: Time Series Analysis

Table of Contents

Preface
1 Difference Equations 1
2 Lag Operators 25
3 Stationary ARMA Processes 43
4 Forecasting 72
5 Maximum Likelihood Estimation 117
6 Spectral Analysis 152
7 Asymptotic Distribution Theory 180
8 Linear Regression Models 200
9 Linear Systems of Simultaneous Equations 233
10 Covariance-Stationary Vector Processes 257
11 Vector Autoregressions 291
12 Bayesian Analysis 351
13 The Kalman Filter 372
14 Generalized Method of Moments 409
15 Models of Nonstationary Time Series 435
16 Processes with Deterministic Time Trends 454
17 Univariate Processes with Unit Roots 475
18 Unit Roots in Multivariate Time Series 544
19 Cointegration 571
20 Full-Information Maximum Likelihood Analysis of Cointegrated Systems 630
21 Time Series Models of Heteroskedasticity 657
22 Modeling Time Series with Changes in Regime 677
A Mathematical Review 704
B Statistical Tables 751
C Answers to Selected Exercises 769
D Greek Letters and Mathematical Symbols Used in the Text 786
Author Index 789
Subject Index 792

TAVAKOLI Credit Derivatives: A Guide to Instruments and Applications
TAVAKOLI: Credit Derivatives: A Guide to Instruments and Applications

Table of Contents

Introduction
Ch. 1 Credit Derivatives Markets Overview 5
Ch. 2 Total Rate of Return Swaps - Synthetic Financing 19
Ch. 3 Credit Default Swaps of Options 73
Ch. 4 Exotic Structures 141
Ch. 5 Sovereign Risk and Emerging Markets 189
Ch. 6 Credit-Linked Notes 223
Ch. 7 Synthetic Collateralized Loan Obligations 237
Ch. 8 Selected Documentation, Regulatory, Booking, and Legal Issues 265
Ch. 9 Future of the Global Market 283
Selected Bibliography 289
Index 302

See also Second Edition (2001) TAVAKOLI: Credit Derivatives: A Guide to Instruments and Applications, 2nd Edition and a new book (2003) TAVAKOLI: Collateralized Debt Obligations and Structured Finance: New Developments in Cash and Synthetic Securitization Visit web site of the author Janet Tavakoli http://www.tavakolistructuredfinance.com/

KAMINSKI (formerly with ENRON) Managing Energy Price Risk: The New Challenges and Solutions, 3rd Edition
Managing Energy Price Risk: The New Challenges and Solutions, 3rd Edition

Table of Contents

Preface
Contributors
Introduction

ENERGY INSTRUMENTS

1. Energy Swaps
2. Energy Options
3. Energy Exotic Options
4. Derivatives in Energy Project Finance

DEVELOPMENTS IN ENERGY MARKETS

5. The Oil Market
6. The Natural Gas Market
7. Competitive Electricity Markets Around the World: Aproaches to Prices Risk Managment
8. Regulatory and Legal Issues

RISK MEASUREMENT AND REPORTING

9. VAR, Stress-Testing and Supplementary Methodologies: Uses and Constraints in Energy Risk Managment
10. Credit Risk in Liberalised Power and Natural Gas Markets
11. Accounting for Derivative Contracts in an Energy Environment

TOOLS FOR RISK ANALYSIS

12. Power Forward Curves: A Managerial Perspective Shankar Nagarajan of Deloitte & Touche L.L.P.
13. Arbitrage-Free Valuation of Energy Derivatives
14. Volatility in Energy Prices
15. Correlation and Cointegration in Energy Markets

CHRISS Black-Scholes and Beyond : Option Pricing Models

Table of Contents

1 Stocks, Options, and Futures 11
2 Fundamental Mathematical Concepts 57
3 The Geometric Brownian Motion Model of Price Movements 93
4 The Black-Scholes Formula 119
5 More on the Black-Scholes Formula 185
6 Binomial Trees 219
7 Basic Option Pricing With Binomial Trees 273
8 The Volatility Smile 327
9 Implied Volatility Trees 361
10 Implied Binomial Trees 411
11 Pricing Barrier Options in the Presence of the Smile 433
Bibliography 477
Author Index 484
Index 486

DUFFIE Dynamic Asset Pricing Theory, Third Edition
Dynamic Asset Pricing Theory : Second Edition

Table of Contents

Preface

Pt. I Discrete-Time Models 1

1 Introduction to State Pricing 3
2 The Basic Multiperiod Model 21
3 The Dynamic Programming Approach 49
4 The Infinite-Horizon Setting 65

Pt. II Continuous-Time Models 81

5 The Black-Scholes Model 83
6 State Prices and Equivalent Martingale Measures 101
7 Term-Structure Models 135
8 Derivative Pricing 167
9 Portfolio and Consumption Choice 203
10 Equilibrium 235
11 Corporate Securities 259
12 Numerical Methods 293

Appendixes 321

A Finite-State Probability 323
B Separating Hyperplanes and Optimality 326
C Probability 329
D Stochastic Integration 334
E SDE, PDE, and Feynman-Kac 340
F Ito's Formula with Jumps 347
G Utility Gradients 351
H Ito's Formula for Complex Functions 355
I Counting Processes 357
J Finite-Difference Code 363

Bibliography 373
Symbol Glossary 445
Author Index 447
Subject Index 457

KATZ / MCCORMICK The Encyclopedia of Trading Strategies

Table of Contents

Preface

Part One: Tools of the Trade

Chapter 1: Dat.
Chapter 2: Simulators
Chapter 3: Optimizers and Optimazation
Chapter 4: Statistics

Part Two: The Study of Entries

Chapter 5: Breakout Models
Chapter 6: Moving-Average Models
Chapter 7: Oscillator-Based Entries
Chapter 8: Seasonality
Chapter 9: Lunar and Solar Rhythms
Chapter 10: Cycle-Based Entries
Chapter 11: Neural Networks
Chapter 12: Genetic Algorithms

Part Three: The Study of Exits

Chapter 13: The Standard Exit Strategy
Chapter 14: Improvements on the Standard Exit
Chapter 15: Adding Artificial Intelligence to Exits

Conclusion
Notice
Appendix
Index

BEST Implementing Value at Risk

Table of Contents

Preface
Acknowledgements
1 Defining risk and VAR 1
2 Covariance 14
3 Calculating VAR using simulation 32
4 Measurement of volatility and correlation 57
5 Implementing value at risk 103
6 Stress testing 128
7 Managing risk with VAR 141
8 Risk adjusted performance measurement 149
9 Regulators and risk management 174
10 Introduction to the spreadsheets 197
References and further reading 199
Index 201

PRING Introduction to Technical Analysis

Table of Contents

Basic Principles
Trendlines, Support, and Resistance
Volume
Price Patterns for Traders
Moving Averages
Momentum
A Primer on Candlestick Charting

SHAW Modeling Financial Derivatives With Mathematica (Includes CD-ROM)

Table of Contents

Preface
1 Advanced Tools for Rocket Science 1
2 An Introduction to Mathematica 12
3 Mathematical Finance Preliminaries 68
4 Mathematical Preliminaries 85
5 Log and Power Contracts 127
6 Binary Options and the Normal Distribution 136
7 Vanilla European Calls and Puts 151
8 Barrier Options - a Case Study in Rapid Development 167
9 Analytical Models of Lookbacks 189
10 Vanilla Asian Options - Analytical Methods 200
11 Vanilla American Options - Analytical Methods 215
12 Double Barrier, Compound, Quanto Options and other Exotics 237
13 The Discipline of the Greeks and Overview of Finite-Difference Schemes 258
14 Finite-Difference Schemes for the Diffusion Equation with Smooth Initial Conditions 266
15 Finite-Difference Schemes for the Black-Scholes Equation with Nonsmooth Payoff Initial Conditions 279
16 SOR and PSOR Schemes for the Three-Time-Level Douglas Scheme and Applications to American Options 306
17 Linear Programming Alternatives to PSOR and Regression 331
18 Traditional and Supersymmetric Trees 344
19 Tree Implementation in Mathematica and Basic Tree Pathology 363
20 Turbo-charged Trees with the Mathematica Compiler 387
21 Monte Carlo and Wozniakowski Sampling 400
22 Basic Applications of Monte Carlo 420
23 Monte Carlo Simulation of Basket Options 437
24 Getting Jumpy over Dividends 454
25 Simple Deterministic and Stochastic Interest Rate Models 470
26 Building Yield Curves from Market Data 482
27 Simple Interest Rate Options 504
28 Modelling Volatility by Elasticity 515
Index 534

KARATZAS / SHREVE Brownian Motion and Stochastic Calculus
KARATZAS, SHREVE: Brownian Motion and Stochastic Calculus

STEELE Stochastic Calculus and Financial Applications
STEELE: Stochastic Calculus and Financial Applications

MERTON Continuous-Time Finance
MERTON: Continuous-Time Finance

Table of Contents

Foreward: Paul Samuelson

Part I: Introduction to Finance and the Mathematics of Continuous-time Models:

1. Modern Finance
2. Introduction to Portfolio Selection and Capital Market Theory: Static Analysis
3. On the Mathematics and Economic Assumptions of Continuous-time Financial Models

Part II: Optimum Consumption and Portfolio Selection in Continuous-time Models:

4. Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case
5. Optimum Consumption and Portfolio Rules in a Continuous-time Model
6. Further Developments in Theory of Optimal Consumption and Portfolio Selection

Part III: Warrant and Option Pricing Theory:

7. A Complete Model of Warrant Pricing that Maximizes Utility
8. Theory of Rational Option Pricing
9. Option Pricing when Underlying Stock Returns are Discontinuous
10. Further Developments in Option Pricing Theory

Part IV: Contingent-Claims Analysis in the Theory of Corporate Finance and Financial Intermediation:

11. A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm
12. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
13. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem
14. Contingent Claims Analysis in the Theory of Corporate Finance and Financial Intermediation

Part V: An Intertemporal-Equilibrium Theory of Finance:

15. An Intertemporal Capital Asset Pricing Model
16. A General Equilibrium Theory of Finance in Continuous Time

Part VI: Applications of the Continuous-Time Model to Selected Issues in Public Finance:

17. An Asymptotic Theory of Growth Under Uncertainty
18. On Consumption-Indexed Public Pension Plans
19. An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance
20. On the Cost of Deposit Insurance when there are Surveillance Costs

WILLIAMS Probability With Martingales

ROSS An Elementary Introduction to Mathematical Finance : Options and Other Topics, 2nd Edition
An Elementary Introduction to Mathematical Finance : Options and Other Topics

Table of Contents

Introduction and Preface
1 Probability
2 Normal Random Variables
3 Geometric Brownian Motion
4 Interest Rates and Present Value Analysis
5 Pricing Contracts via Arbitrage
6 The Arbitrage Theorem
7 The Black-Scholes Formula
8 Valuing by Expected Utility
9 Exotic Options
10 Beyond Geometric Brownian Motion Models
11 Autogressive Models and Mean Reversion
12 Optimization Methods in Finance
Index

ABRAMOWITZ / STEGUN Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables
ABRAMOWITZ, STEGUN: Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables Published by Dover Publications. See also some other Dover Books.


ABRAMOWITZ, STEGUN: Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables ALEXANDER: Market Models : A Guide to Financial Data Analysis BENNINGA: Financial Modeling HAMILTON: Time Series Analysis NEFTCI: An Introduction to the Mathematics of Financial Derivatives BROOKS: Building Financial Derivatives Applications with C++ OSBORNE: The Stock Market and Finance From a Physicist's Viewpoint JAMES, WEBBER: Interest Rate Modelling MANTEGNA, STANLEY: An Introduction to Econophysics: Correlations and Complexity in Finance CAMPBELL, LO, MacKINLAY: Econometrics of Financial Markets WILMOTT: The Mathematics of Financial Derivatives HULL: Options, Futures & Other Derivatives, 5th Edition, US JAECKEL: Monte Carlo Methods in Finance TALEB: Dynamic Hedging: Managing Vanilla and Exotic Options NATENBERG: Option Volatility and Pricing : advanced Trading Strategies and Techniques WILMOTT: Paul Wilmott on Quantitative Finance, 2 Volume Set WILMOTT: Paul Wilmott Introduces Quantitative Finance REBONATO: Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond REBONATO: Volatility and Correlation : In the Pricing of Equity, Fx and Interest-Rate Options REBONATO: Interest-Rate Option Models : Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, 2nd Edition OKSENDAL: Stochastic Differential Equations : An Introduction with Applications PRISMAN: Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab CLEWLOW, STRICKLAND: Implementing Derivatives Models : Numerical Methods STEELE: Stochastic Calculus and Financial Applications BAXTER, RENNIE: Financial Calculus : An Introduction to Derivative Pricing CBOT: Options : Essential Concepts and Trading Strategies NIELSEN: Pricing and Hedging of Derivative Securities BOUCHAUD, POTTERS: Theory of Financial Risks: From statistical Physics to Risk Management DeROSA: Options on Foreign Exchange MURPHY: Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications WOLFRAM: The Mathematica Book BJORK: Arbitrage Theory in Continuous Time NICHOLAS: Market-Neutral Investing : Long/Short Hedge Fund Strategies JACKSON, STAUNTON: Advanced Modelling in Finance Using Excel and VBA TAVELLA: Quantitative Methods in Derivatives Pricing : An Introduction to Computational Finance GRINOLD, KAHN: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk TAVELLA, RANDALL: Pricing Financial Instruments : The Finite Difference Method HAUG: The Complete Guide to Option Pricing Formulas FABOZZI: The Handbook of Fixed Income Securities DUFFIE: Dynamic Asset Pricing Theory : Second Edition TAVAKOLI: Credit Derivatives: A Guide to Instruments and Applications, 2nd Edition ROSS: An Elementary Introduction to Mathematical Finance : Options and Other Topics MERTON: Continuous-Time Finance CRACK: Heard on The Street : Quantitative Questions from Wall Street Job Interviews CRACK: Heard on The Street : Quantitative Questions from Wall Street Job Interviews [DOWNLOAD: ADOBE READER]

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