An introduction to financial markets a quantitative approach
It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engi-neering, decision science, and management science students
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, NJ
John Wiley & Son
2018
|
| Subjects: | |
| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- 3.1.2 Quoted vs. effective rates: Compounding frequencies3.2 The time value of money: Shifting money backward in time
- 3.2.1 Discount factors and pricing a zero-coupon bond
- 3.2.2 Discount factors vs. interest rates
- 3.3 Nominal vs. real interest rates
- 3.4 The term structure of interest rates
- 3.5 Elementary bond pricing
- 3.5.1 Pricing coupon-bearing bonds
- 3.5.2 Frombond prices to term structures, and vice versa
- 3.5.3 What is a risk-free rate, anyway?
- 3.5.4 Yield-to-maturity
- 3.5.5 Interest rate risk
- 3.5.6 Pricing floating rate bonds
- ""1.3.3 Dealers and brokers""""1.3.4 Hedgers, speculators, and arbitrageurs""; ""1.4 Market structure and trading strategies""; ""1.4.1 Primary and secondary markets""; ""1.4.2 Over-the-counter vs. exchange-traded derivatives""; ""1.4.3 Auction mechanisms and the limit order book""; ""1.4.4 Buying on margin and leverage""; ""1.4.5 Short-selling""; ""1.5 Market indexes""; ""Problems""; ""Further reading""; ""Bibliography""; ""2 Basic Problems in Quantitative Finance""; ""2.1 Portfolio optimization""; ""2.1.1 Static portfolio optimization: Meanâ#x80;#x93;variance efficiency""
- 2.3.5 The limitations of the no-arbitrage principle2.4 The mathematics of arbitrage
- 2.4.1 Linearity of the pricing functional and law of one price
- 2.4.2 Dominant strategies
- 2.4.3 No-arbitrage principle and risk-neutral measures
- S2.1 Multiobjective optimization
- S2.2 Summary of LP duality
- Problems
- Further reading
- Bibliography
- Part II Fixed-income assets
- 3 Elementary Theory of Interest Rates
- 3.1 The time value of money: Shifting money forward in time
- 3.1.1 Simple vs. compounded rates
- ""2.1.2 Dynamic decision-making under uncertainty: A stylized consumptionâ#x80;#x93;saving model""""2.2 Risk measurement and management""; ""2.2.1 Sensitivity of asset prices to underlying risk factors""; ""2.2.2 Risk measures in a non-normal world: Value-atrisk""; ""2.2.3 Riskmanagement: Introductory hedging examples""; ""2.2.4 Financial vs. nonfinancial risk factors""; ""2.3 The no-arbitrage principle in asset pricing""; ""2.3.1 Why do we need asset pricing models?""; ""2.3.2 Arbitrage strategies""; ""2.3.3 Pricing by no-arbitrage""; ""2.3.4 Option pricing in a binomial model""
- An Introduction to Financial Markets: A Quantitative Approach
- Contents
- Preface
- About the Companion Website
- Part I Overview
- 1 Financial Markets: Functions, Institutions, and Traded Assets
- 1.1 What is the purpose of finance?
- 1.2 Traded assets
- 1.2.1 The balance sheet
- 1.2.2 Assets vs. securities
- 1.2.3 Equity
- 1.2.4 Fixed income
- 1.2.5 FOREX markets
- 1.2.6 Derivatives
- 1.3 Market participants and their roles
- 1.3.1 Commercial vs. investment banks
- 1.3.2 Investment funds and insurance companies
- Includes bibliographical references