Financial Engineering and Computation

金融工程和计算

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Author: Yuh-Dauh Lyuu
Language: English
ISBN/ISSN: 9787040239805
Published on: 2008-01
Soft Cover

   As the title of this book suggests, a modern book on financial engineering has to

cover investment theory, financial mathematics, and computer science evenly. This

interdisciplinary emphasis is tuned more to the capital markets wherever quantitative

analysis is being practiced.



PrefaceUseful Abbreviations1 Introduction 1.1 Modern Finance: A Brief History 1.2

Financial Engineering and Computation 1.3 Financial Markets 1.4 Computer Technology2

Analysis of Algorithms 2.1 Complexity 2.2 Analysis of Algorithms 2.3 Description of

Algorithms 2.4 Software Implementation3 Basic Financial Mathematics 3.1 Time Value of

Money 3.2 Annuities 3.3 Amortization 3.4 Yields 3.5 Bonds4 Bond Price Volatility 

4.1 Price Volatility 4.2 Duration 4.3 Convexity5 Term Structure of Interest Rates 5.1

Introduction 5.2 Spot Rates 5.3 Extracting Spot Rates from Yield Curves 5.4 Static

Spread 5.5 Spot Rate Curve and Yield Curve 5.6 Forward Rates 5.7 Term Structure

Theories 5.8 Duration and Immunization Revisited6 Fundamental Statistical Concepts 6.1

Basics 6.2 Regression 6.3 Correlation 6.4 Parameter Estimation7 Option Basics 7.1

Introduction 7.2 Basics 7.3 Exchange-Traded Options 7.4 Basic Option Strategies8

Arbitrage in Option Pricing 8.1 The Arbitrage Argument 8.2 Relative Option Prices 8.3

Put-Call Parity and Its Consequences 8.4 Early Exercise of American Options 8.5

Convexity of Option Prices 8.6 The Option Portfolio Property9 Option Pricing Models 

9.1 Introduction 9.2 The Binomial Option Pricing Model 9.3 The Black-Scholes Formula 

9.4 Using the Black-Scholes Formula 9.5 American Puts on a Non-Dividend-Paying Stock 

9.6 Options on a Stock that Pays Dividends 9.7 Traversing the Tree Diagonally10

Sensitivity Analysis of Options 10.1 Sensitivity Measures ("The Greeks") 10.2

Numerical Techniques11 Extensions of Options Theory 11.1 Corporate Securities 11.2

Barrier Options 11.3 Interest Rate Caps and Floors 11.4 Stock Index Options 11.5

Foreign Exchange Options 11.6 Compound Options 11.7 Path-Dependent Derivatives12

Forwards, Futures, Futures Options, Swaps 12.1 Introduction 12.2 Forward Contracts 

12.3 Futures Contracts 12.4 Futures Options and Forward Options 12.5 Swaps13

Stochastic Processes and Brownian Motion 13.1 Stochastic Processes 13.2 Martingales

("Fair Games") 13.3 Brownian Motion 13,4 Brownian Bridge14 Continuous-Time Financial

Mathematics 14.1 Stochastic Integrals 14.2 Ito Processes 14.3 Applications 14.4

Financial Applications15 Continuous-Time Derivatives Pricing 15.1 Partial Differential

Equations 15.2 The Black-Schotes Differential Equation 15.3 Applications 15.4 General

Derivatives Pricing 15.5 Stochastic Volatility16 Hedging 16.1 Introduction 16.2

Hedging and Futures 16.3 Hedging and Options17 Trees 17.1 Pricing Barrier Options with

Combinatorial Methods 17.2 Trinomial Tree Algorithms 17.3 Pricing Multivariate

Contingent Claims18 Numerical Methods 18.1 Finite-Difference Methods 18.2 Monte Carlo

Simulation 18.3 Quasi-Monte Carlo Methods19 Matrix Computation 19.1 Fundamental

Definitions and Results 19.2 Least-Squares Problems 19.3 Curve Fitting with Splines20

Time Series Analysis 20.1 Introduction 20.2 Conditional Variance Models for Price

Volatility21 Interest Rate Derivative Securities 21.1 Interest Rate Futures and

Forwards 21.2 Fixed-Income Options and Interest Rate Options 21.3 Options on Interest

Rate Futures 21.4 Interest Rate Swaps22 Term Structure Fitting 22.1 Introduction 22.2

Linear Interpolation 22.3 Ordinary Least Squares 22.4 Splines 22.5 The Nelson-Siegel

Scheme23 Introduction to Term Structure Modeling 23.1 Introduction 23.2 The Binomial

Interest Rate Tree 23.3 Applications in Pricing and Hedging 23.4 Volatility Term

Structures24 Foundations of Term Structure Modeling 24.1 Terminology 24.2 Basic

Relations 24.3 Risk-Neutral Pricing 24.4 The Term Structure Equation 24.5 Forward-

Rate Process 24.6 The Binomial Model with Applications 24.7 Black-Scholes Models25

Equilibrium Term Structure Models 25.1 The Vasicek Model 25.2 The Cox-Ingersoll-Ross

Model 25.3 Miscellaneous Models 25.4 Model Calibration 25.5 One-Factor Short Rate

Models26 No-Arbitrage Term Structure Models 26.1 Introduction 26.2 The Ho-Lee Model 

26.3 The Black-Derman-Toy Model 26.4 The Models According to Hull and White 26.5 The

Heath-Jarrow-Morton Model 26.6 The Ritchken-Sankarasubramanian Model27 Fixed-Income

Securities 27.1 Introduction 27.2 Treasury, Agency, and Municipal Bonds 27.3

Corporate Bonds 27.4 Valuation Methodologies 27.5 Key Rate Durations28 Introduction to

Mortgage-Backed Securities 28.1 Introduction 28.2 Mortgage Banking 28.3 Agencies and

Securitization 28.4 Mortgage-Backed Securities 28.5 Federal Agency Mortgage-Backed

Securities Programs 28.6 Prepayments29 Analysis of Mortgage-Backed Securities 29.1

Cash Flow Analysis 29.2 Collateral Prepayment Modeling 29.3 Duration and Convexity 

29.4 Valuation Methodologies30 Collateralized Mortgage Obligations 30.1 Introduction 

30.2 Floating-Rate Tranches 30.3 PAC Bonds 30.4 TAC Bonds 30.5 CMO Strips 30.6

Residuals31 Modern Portfolio Theory 31.1 Mean-Variance Analysis of Risk and Return 

31.2 The Capital Asset Pricing Model 31.3 Factor Models 31.4 Value at Risk32 Software

 32.1 Web Programming 32.2 Use of The Capitals Software 32.3 Further Topics33 Answers

to Selected ExercisesBibliographyGlossary of Useful NotationsIndex  



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