| Description |
1 online resource (xxxvi, 1364 pages : illustrations (some color)) |
| Series |
Springer texts in business and economics |
|
Springer texts in business and economics.
|
| Contents |
Introduction: Economics and Organization of Financial Markets -- Part I. Basic Finance: Interest Rates, Discounting, Investments, Loans -- The Money Market and Its Interbank Segment -- The Bond Markets -- Introduction to the Analysis of Interest Rate and Credit Risks -- The Term Structure of Interest Rates -- Vanilla Floating Rate Instruments and Swaps -- Stocks, Stock Markets, and Stock Indices -- Part II Futures and Options -- Futures and Forwards -- Options (I): General Description, Parity Relations, Basic Concepts, and Valuation Using the Binomial Model -- Options (II): Continuous-Time Models, Black-Scholes and Extensions -- Option Portfolio Strategies: Tools and Methods -- American Options and Numerical Methods -- *Exotic Options -- Futures Markets (2): Contracts on Interest Rates -- Interest Rate Instruments: Valuation with the BSM Model, Hybrids, and Structured Products -- Modeling Interest Rates and Options on Interest Rates -- Elements of Stochastic Calculus -- *The Mathematical Framework of Financial Markets Theory -- The State Variables Model and the Valuation Partial Differential Equation -- Part III Portfolio Theory and Portfolio Management -- Choice Under Uncertainty and Portfolio Optimization in a Static Framework: The Markowitz Model -- The Capital Asset Pricing Model -- Arbitrage Pricing Theory and Multi-factor Models -- Strategic Portfolio Allocation -- Benchmarking and Tactical Asset Allocation -- Monte Carlo Simulations -- Value at Risk, Expected Shortfall, and Other Risk Measures -- Modeling Credit Risk (1): Credit Risk Assessment and Empirical Analysis -- Modeling Credit Risk (2): Credit-VaR and Operational Methods for Credit Risk Management -- Credit Derivatives, Securitization, and Introduction to xVA |
| Summary |
This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting. Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory. Based on the authors' renown master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Translated from French |
|
Online resource; title from PDF title page (SpringerLink, viewed November 17, 2022) |
| Subject |
Capital market.
|
|
Capital market
|
| Form |
Electronic book
|
| Author |
Portait, Roland, author.
|
|
Toder, Igor, author
|
| ISBN |
9783030846008 |
|
3030846008 |
|
