<Quantitative Finance> - Part one

https://symin.us/posts/financial_engineering/2024-02-19.html

---

Contents

• Concepts of hedging and no arbitrage
• understand ‘Black-Scholes world’

 

Chapters

• Chapter 1: Products and Markets - An overview of the workings of the financial markets and their products.
• Chapter 2: Derivatives - An introduction to options, options markets, market conventions. Definitions of the common terms, simple no arbitrage, put-call parity and elementary trading strategies
• Chapter 3: The random behavior of assets - An examination of data for various financial quantities, leading to a model for the random behavior of prices. Almost all of sophisticated finance theory assumes that prices are random, the question is how to model that randomness.
• Chapter 4: elementary stochastic calculus - The key concept is Ito’s lemma
• Chapter 5: the Black-Scholes model - Model for the fair value of options on stocks, currencies, and commodities. Delta hedging and no arbitrage and show how they lead to a unique price for an option.
• Chapter 6: partial differential equations
• Chapter 7: the Black-Scholes formulae and the Greeks - Derivatives of option prices with respect to variables or parameters are important for hedging
• Chapter 8: simple generalizations of the Black-Scholes word
• Chapter 9: early exercise and American options
• Chapter 10: probability density functions and first-exit times
• Chapter 11: multi-asset options
• Chapter 12: how to delta hedge
• Chapter 13: fixed-income products and analysis: yield, duration and convexity
• Chapter 14: swaps
• Chapter 15: the binomial model
• Chapter 16: how accurate is the normal approximation?
• Chapter 17: investment lessons from Blackjack and gambling
• Chapter 18: portfolio management - the classical ideas of Modern portfolio theory and the capital asset pricing model
• Chapter 19: value at risk
• Chapter 20: forecasting the markets? - The hypothesis is that information about short-term future asset price movements are contained within the past history of prices