The Mathematics of Financial Models: Solving Real World Problems with Quantitative Methods

Machine generated contents note: ch. 1 Setting the Stage
Why Is This Book Different?
Road Map of the Book
References
ch. 2 Building Zero Curves
Market Instruments
Linear Interpolation
Cubic Splining
Appendix: Finding Swap Rates Using a Floating Coupon Bond Approach
ch. 3 Valuing Vanilla Options
Black-Scholes Formulae
Adaptations of the Black-Scholes Formulae
Limitations of the Black-Scholes Formulae
Application in Currency Risk Management
Appendix
ch. 4 Simulations
Uniform Number Generation
Non-Uniform Number Generation
Applications of Simulations
Variance Reduction Techniques
ch. 5 Valuing Exotic Options
Valuing Path-Independent, European-Style Options on a Single Variable
Valuing Path-Dependent, European-Style Options on a Single Variable
Valuing Path-Independent, European-Style Options on Two Variables
Contents note continued: Valuing Path-Dependent, European-Style Options on Multiple Variables
ch. 6 Estimating Model Parameters
Calibration of Parameters in the Black-Scholes Model
Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options
Using Volatility Surface
Calibration of Interest Rate Option Model Parameters
Statistical Estimation
ch. 7 The Effectiveness of Hedging Strategies
Delta Hedging
Assumptions Underlying Delta Hedging
Beyond Delta Hedging
Testing Hedging Strategies
Analysis Associated with the Hedging of a European-Style Vanilla Put Option
ch. 8 Valuing Variable Annuity Guarantees
Basic GMDB
Death Benefit Riders
Other Details Associated with GMDB Products
Improving Modeling Assumptions
Living Benefit Riders
ch. 9 Real Options
Surrendering a GMAB Rider