Elisa Alos (Spain Universitat Pompeu Frabra), Raul Merino

Introduction to Financial Derivatives with Python

• Gebundenes Buch

Produktbeschreibung

This textbook is ideal for an undergraduate course on derivatives in a finance, economics, or financial mathematics programme. As well as covering all of the essential topics, the book also includes the basis of the numerical techniques most used in the financial industry, and their implementation in Python.

Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Ltd
• Seitenzahl: 228
• Erscheinungstermin: 15. Dezember 2022
• Englisch
• Abmessung: 241mm x 162mm x 21mm
• Gewicht: 488g
• ISBN-13: 9781032211039
• ISBN-10: 1032211032
• Artikelnr.: 66267537

Autorenporträt

Elisa Alòs holds a Ph.D. in Mathematics from the University of Barcelona. She is an Associate Professor in the Department of Economics and Business at Universitat Pompeu Fabra (UPF) and a Barcelona GSE Affiliated Professor. Her research focus has been on the applications of the Malliavin calculus and the fractional Brownian motion in mathematical finance and volatility modelling since he past fourteen years. Raúl Merino has been working full-time in the industry as Risk Quant since 2008. He is also an Associate Professor at Pompeu Fabra University (UPF) where he teaches the course "Financial Derivatives and Risk Management". Raul holds a Ph.D. in Mathematics from the University of Barcelona. In his Ph.D. he studied the use of decomposition formulas in stochastic volatility models. His research interests are stochastic analysis and applied mathematics, with a special focus on applications to mathematical finance.

Inhaltsangabe

1. Introduction. 1.1. Financial Markets. 1.2. Derivatives. 1.3. Time has a
Value. 1.4. No-Arbitrage Principle. 1.5. Chapter's Digest. 1.6. Exercises.
2. Futures and Forwards. 2.1. Forward Contracts: Definitions. 2.2. Futures.
2.3. Why to use Forwards and Futures? 2.4. The Fair Delivery Price: The
Forward Price. 2.5. Chapter's Digest. 2.6. Exercises. 3. Options. 3.1. Call
and Put Options. 3.2. The Intrinsic Value of an Option. 3.3. Some
Properties of Option Prices. 3.4. Speculation with Options. 3.5. Some
Classical Strategies. 3.6. Draw your Strategy with Python. 3.7. Chapter's
Digest. 3.8. Exercises. 4. Exotic Options. 4.1. Binary Options. 4.2.
Forward Start Options. 4.3. Path-Dependent Options. 4.4. Spread and Basket
Options. 4.5. Bermuda Options. 4.6. Chapter's Digest. 4.7. Exercises. 5.
The Binomial Model. 5.1. The Single-Period Binomial Model. 5.2. The
Multi-Period Binomial Model. 5.3. The Greeks in the Binomial Model. 5.4.
Coding the Binomial Model. 5.5. Chapter's Digest. 5.6. Exercises. 6. A
Continuous-Time Pricing Model. 6.1. Creating Some Intuition. 6.2. The
Black-Scholes-Merton Framework. 6.3. THE BLACK-SCHOLES-MERTON EQUATION.
6.4. The Black-Scholes-Merton Formula. 6.5. The Black-Scholes-Merton Model
from a Probabilistic Perspective. 6.6. The Black-Scholes-Merton Price and
the Binomial Price. 6.7. The Greeks in the Black-Scholes-Merton Model. 6.8.
Other Assets. 6.9. Drawbacks of the Black-Scholes-Merton Model. 6.10.
Chapter's Digest. 6.11. Exercises. 7. Monte Carlo Methods. 7.1. The Need of
General Option Pricing Tools. 7.2. Mathematical Foundations of Monte Carlo
Methods. 7.3. Option Pricing with Monte Carlo Methods. 7.4. European
Options that Depend on the Final Price of Two Assets. 7.5. Chapter's
Digest. 7.6. Exercises. 8. The Volatility. 8.1. Historical Volatilities.
8.2. The Spot Volatility. 8.3. The Implied Volatility. 8.4. Chapter's
Digest. 8.5. Exercises. 9. Replicating Portfolios. 9.1. Replicating
Portfolios for the Binomial Model. 9.2. Replicating Portfolios for the
Black-Scholes-Merton Model. 9.3. Chapter's Digest. 9.4. Exercises.