| Description |
1 online resource (1 volume) : illustrations |
| Bibliography |
Includes bibliographical references and index. |
| Summary |
Understanding the math behind the money Finance professionals are routinely faced with a variety of different challenges from clients across a number of industries. From projecting cash flows to modeling future pension benefits to pricing derivatives for hedging to valuing real options, analysts regularly find themselves seeking solutions to these diverse problems. The Mathematics of Financial Models presents real-world problems and shows how various quantitative methods can be used to solve them. Self study exercises, results, and pre-formatted interactive spreadsheets provide the tools and practical solutions professionals need, along with a brief refresher course on key mathematical topics. In addition to this, the book also: -Bridges the gap between highly mathematical quantitative analysis and the practical methodologies needed by investment professionals facing valuation and modeling issues in multiple fields -Serves as a useful reference for financial analysts, sales people, and graduate students in economics, accounting, and finance -Covers practical problems across different sectors so as to help today's analyst become familiar with a variety of challenges across varying industries Packed with real-world case studies and solutions to everyday problems faced by professionals, The Mathematics of Financial Models is a must-have for those in the financial sector or aspiring professionals in finance. |
| Contents |
The Mathematics of Financial Models; Contents; Preface; Acknowledgments; 1 Setting the Stage; Why Is This Book Different?; Road Map of the Book; References; 2 Building Zero Curves; Market Instruments; Treasury Bills; Treasury Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear Interpolation; Step 1: Convert Eurodollar Futures Prices to Forward Rates; Step 2: Calibrate Zero Rates for First Year; Step 3: Calibrate to Obtain Zero Rates for First Two Years; Step 4: Calibrate to Obtain Zero Rates for First Five Years; Cubic Splining; Splining over One Time Interval |
|
Splining over Two Time IntervalsSplining over Four Time Intervals; Splining over All Time Intervals; Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach; References; 3 Valuing Vanilla Options; Black-Scholes Formulae; Adaptations of the Black-Scholes Formulae; Pricing Options on Dividend-Paying Stocks; Pricing Options on Futures Contracts; Pricing Options on Forward Contracts; Limitations of the Black-Scholes Formulae; Application in Currency Risk Management; Risk-Management Strategies-Pros and Cons; Incorporating Views into Strategies; Appendix; Finding a Forward Bond Yield |
|
Valuing Path-Dependent, European-Style Options on a Single VariableAveraging Options; Installment Options; Valuing path-Independent, European-Style Options on Two Variables; Exchange Options; Spread Options; Valuing Path-Dependent, European-Style Options on Multiple Variables; Averaging Spread Options; Lookback Basket Options; References; 6 Estimating Model Parameters; Calibration of Parameters in the Black-Scholes Model; Inferring qt, T; Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options; Using Volatility Term Structure; Using Volatility Surface |
|
Getting the Implied Stock Prices When i = 0Getting the Implied Probabilities When i = 0; Getting the Implied Stock Prices When i = 1; Getting the Implied Probabilities When i = 1; Calibration of Interest Rate Option Model Parameters; Statistical Estimation; Using Historical Implied Volatilities; Using Historical Underlying Values; References; 7 The Effectiveness of Hedging Strategies; Delta Hedging; Hedging the Sale of a Vanilla European-Style Call Option on a Nondividend-Paying Stock; Hedging the Sale of a Vanilla European-Style Call Option on a Dividend-Paying Stock |
| Language |
English. |
| Subject |
Finance -- Mathematical models.
|
|
Finance -- Statistical methods.
|
|
Finances -- Modèles mathématiques. |
|
Finances -- Méthodes statistiques. |
|
Finance -- Mathematical models |
|
Finance -- Statistical methods |
| Other Form: |
Print version: Ravindran, Kannoo. Mathematics of financial models 9781118004616 (OCoLC)876287905 |
| ISBN |
9781118235522 |
|
1118235525 |
|
1118826159 |
|
9781118826157 |
|
1118221850 |
|
9781118221853 |
| Music No. |
EB00066581 Recorded Books |
|
More Resources