An Introduction to Quantitative Finance

By:

Blyth, Stephen

Material type: Text

TextPublication details: Oxford University Press 2014 OxfordDescription: 175pISBN:

9780199666591

Subject(s):

DDC classification:

332.015195 BLY

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.015195 BLY (Browse shelf(Opens below))	Available		M0033089

Total holds: 0

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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