Book contents
- Frontmatter
- Contents
- Preface
- Useful Abbreviations
- 1 Introduction
- 2 Analysis of Algorithms
- 3 Basic Financial Mathematics
- 4 Bond Price Volatility
- 5 Term Structure of Interest Rates
- 6 Fundamental Statistical Concepts
- 7 Option Basics
- 8 Arbitrage in Option Pricing
- 9 Option Pricing Models
- 10 Sensitivity Analysis of Options
- 11 Extensions of Options Theory
- 12 Forwards, Futures, Futures Options, Swaps
- 13 Stochastic Processes and Brownian Motion
- 14 Continuous-Time Financial Mathematics
- 15 Continuous-Time Derivatives Pricing
- 16 Hedging
- 17 Trees
- 18 Numerical Methods
- 19 Matrix Computation
- 20 Time Series Analysis
- 21 Interest Rate Derivative Securities
- 22 Term Structure Fitting
- 23 Introduction to Term Structure Modeling
- 24 Foundations of Term Structure Modeling
- 25 Equilibrium Term Structure Models
- 26 No-Arbitrage Term Structure Models
- 27 Fixed-Income Securities
- 28 Introduction to Mortgage-Backed Securities
- 29 Analysis of Mortgage-Backed Securities
- 30 Collateralized Mortgage Obligations
- 31 Modern Portfolio Theory
- 32 Software
- 33 Answers to Selected Exercises
- Bibliography
- Glossary of Useful Notations
- Index
Bibliography
Published online by Cambridge University Press: 19 September 2009
- Frontmatter
- Contents
- Preface
- Useful Abbreviations
- 1 Introduction
- 2 Analysis of Algorithms
- 3 Basic Financial Mathematics
- 4 Bond Price Volatility
- 5 Term Structure of Interest Rates
- 6 Fundamental Statistical Concepts
- 7 Option Basics
- 8 Arbitrage in Option Pricing
- 9 Option Pricing Models
- 10 Sensitivity Analysis of Options
- 11 Extensions of Options Theory
- 12 Forwards, Futures, Futures Options, Swaps
- 13 Stochastic Processes and Brownian Motion
- 14 Continuous-Time Financial Mathematics
- 15 Continuous-Time Derivatives Pricing
- 16 Hedging
- 17 Trees
- 18 Numerical Methods
- 19 Matrix Computation
- 20 Time Series Analysis
- 21 Interest Rate Derivative Securities
- 22 Term Structure Fitting
- 23 Introduction to Term Structure Modeling
- 24 Foundations of Term Structure Modeling
- 25 Equilibrium Term Structure Models
- 26 No-Arbitrage Term Structure Models
- 27 Fixed-Income Securities
- 28 Introduction to Mortgage-Backed Securities
- 29 Analysis of Mortgage-Backed Securities
- 30 Collateralized Mortgage Obligations
- 31 Modern Portfolio Theory
- 32 Software
- 33 Answers to Selected Exercises
- Bibliography
- Glossary of Useful Notations
- Index
Summary
- Type
- Chapter
- Information
- Financial Engineering and ComputationPrinciples, Mathematics, Algorithms, pp. 553 - 584Publisher: Cambridge University PressPrint publication year: 2001