[eBook Code] Mathematics of the Financial Markets (eBook Code, 1st)

Foreword by A.G. MALLIARIS, Loyola University, Chicago xi

Main Notations xiii

Introduction xv

PART I THE DETERMINISTIC ENVIRONMENT

1 Prior to the Yield Curve: Spot and Forward Rates 3

2 The Term Structure or Yield Curve 13

3 Spot Instruments 23

4 Equities and Stock Indexes 47

5 Forward Instruments 75

6 Swaps 91

7 Futures 119

PART II THE PROBABILISTIC ENVIRONMENT

8 The Basis of Stochastic Calculus 147

9 Other Financial Models: From ARMA to the GARCH Family 165

10 Option Pricing in General 175

11 Options on Specific Underlyings and Exotic Options 209

12 Volatility and Volatility Derivatives 237

13 Credit Derivatives 257

14 Market Performance and Risk Measures 275

15 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303

Bibliography 319

Index 323