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An Introduction to Quantitative Finance

By: Material type: TextTextPublication details: Oxford University Press 2014 OxfordDescription: 175pISBN:
  • 9780199666591
Subject(s): DDC classification:
  • 332.015195 BLY
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Item type Current library Item location Collection Call number Status Date due Barcode Item holds
Book Book NIMA Knowledge Centre 9th Floor Reading Zone General 332.015195 BLY (Browse shelf(Opens below)) 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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