An Introduction to Quantitative Finance
Material type:
- 9780199666591
- 332.015195 BLY
Item type | Current library | Item location | Collection | Call number | Status | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|---|---|
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NIMA Knowledge Centre | 9th Floor Reading Zone | General | 332.015195 BLY (Browse shelf(Opens below)) | Available | M0033089 |
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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