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An Introduction to Quantitative Finance by Stephen Blyth

By: Blyth, Stephen.
Material type: materialTypeLabelBookPublisher: Oxford Oxford University Press 2014Description: 175p.ISBN: 9780199666591.Subject(s): Quantitative Finance | Business MathematicsDDC classification: 332.015195
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Book Book Institute of Management
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IMDIS 332.015195 BLY (Browse shelf) Available M0033089
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Part I: Preliminaries
1. Preliminaries

Part II: Forwards, Swaps and Options
2. Forward Contracts and Forward Prices
3. Forward Rates and Libor
4. Interest Rate Swaps
5. Futures Contracts
6. No-arbitrage Principle
7. Options

Part III: Replication, Risk-Neutrality and the Fundamental Theorem
8. Replication and Risk-Neutrality on the Binomial Tree
9. Martingales, Numeraires and the Fundamental Theorem
10. Continuous-Time Limit and Black-Scholes Formula
11. Option Price and Probability Duality

Part IV: Interest Rate Options
12. Caps, Floors and Swaptions
13. Cancellable Swaps and Bermudan Swaptions
14. Libor-in-Arrears and Constant Maturity Swap Contracts
15. The Brace-Gatarek-Musiela Framework

Part V: Towards Continuous Time
16. Rough Guide to Continuous Time

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