A First Course in Quantitative Finance
Cambridge University Press, 3/29/2018
EAN 9781108419574, ISBN10: 1108419577
Hardcover, 598 pages, 25.4 x 17.9 x 3 cm
Language: English
This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance introduces students to the architecture of complete financial markets before exploring the concepts and models of modern portfolio theory, derivative pricing and fixed income products in both complete and incomplete market settings. Subjects are organised throughout in a way that encourages a gradual and parallel learning process of both the economic concepts and their mathematical descriptions, framed by additional perspectives from classical utility theory, financial economics and behavioural finance. Suitable for postgraduate students studying courses in quantitative finance, financial engineering and financial econometrics as part of an economics, finance, econometric or mathematics program, this book contains all necessary theoretical and mathematical concepts and numerical methods, as well as the necessary programming code for porting algorithms onto a computer.
1. Introduction
Part I. Technical Basics
2. A primer on probability
3. Vector spaces
4. Utility theory
Part II. Financial Markets and Portfolio Theory
5. Architecture of financial markets
6. Modern portfolio theory
7. CAPM and APT
8. Portfolio performance and management
9. Financial economics
10. Behavioral finance
Part III. Derivatives
11. Forwards, futures and options
12. The binomial model
13. The Black–Scholes theory
14. Exotics in the Black–Scholes model
15. Deterministic volatility
16. Stochastic volatility
17. Processes with jumps
Part IV. The Fixed-Income World
18. Basic fixed-income instruments
19. Plain vanilla fixed-income derivatives
20. Term structure models
21. The LIBOR market model
Appendix A. Complex analysis
Appendix B. Solutions to problems.