1st Edition by Alain Ruttiens (Author)
Mathematics of the Financial Markets
Financial Instruments and Derivatives Modeling, Valuation and Risk Issues
Alain Ruttiens
There
are many books dedicated to the quantitative finance field but these
are either devoted to a specific type of financial instrument, combining
both the products description and use in the market and their
quantitative aspects, or to a specific mathematical or
statistical/econometric theory, or otherwise, with an impressive degree
of mathematical formalism which needs a high degree of competence in
mathematics, econometrics and quantitative methods. Mathematics of the Financial Markets: Financial Instruments and Derivatives Modeling, Valuation and Risk Issues
aims to prioritise what needs mastering and presents the content in the
most understandable, concise and pedagogical way illustrated by real
market examples.
Divided into two parts, the book first examines
the deterministic world, starting with yield curve building and related
calculations (spot rates, forward rates, discrete versus continuous
compounding, etc.), and continuing with spot instruments valuation
(short term rates, bonds, currencies and stocks) and forward instruments
valuation (forward forex, FRAs and variants, swaps & futures).The
second part of the book looks at the probabilistic world, starting with
the basis of stochastic calculus and the alternative approach of ARMA to
GARCH, and continuing with derivative pricing: options, second
generation options, volatility, credit derivatives. This part is
completed by a chapter dedicated to market performance & risk
measures, and a chapter widening the scope of quantitative models beyond
the Gaussian hypothesis and evidencing the potential troubles linked to
derivative pricing models.
This book equips the reader with the
mathematical knowledge needed to explain the valuation and behaviour of
financial products, from traditional spot instruments to complex
derivatives in the whole set of markets, from currencies and stocks to
interest rates and credit underlyings.
Written by Alain Ruttiens,
an expert author with twenty-five years of practical and academic
experience in the financial markets, this book presents the quantitative
aspects of financial markets instruments and their derivatives, in a
global and coherent way. It is now more crucial than ever to be aware of
what is happening, quantitatively speaking, behind the financial
instruments behaviour, making this an essential read for anyone
concerned with financial markets.
