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An introduction to financial markets : a quantitative approach /

COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motiv...

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Bibliographic Details
Main Author: Brandimarte, Paolo (Author)
Format: eBook
Language:English
Published: Hoboken, NJ : John Wiley & Son, 2018.
Subjects:
Finance > Mathematical models.
Financial engineering.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • An Introduction to Financial Markets: A Quantitative Approach
  • Contents
  • Preface
  • About the Companion Website
  • Part I Overview
  • 1 Financial Markets: Functions, Institutions, and Traded Assets
  • 1.1 What is the purpose of finance?
  • 1.2 Traded assets
  • 1.2.1 The balance sheet
  • 1.2.2 Assets vs. securities
  • 1.2.3 Equity
  • 1.2.4 Fixed income
  • 1.2.5 FOREX markets
  • 1.2.6 Derivatives
  • 1.3 Market participants and their roles
  • 1.3.1 Commercial vs. investment banks
  • 1.3.2 Investment funds and insurance companies
  • 1.3.3 Dealers and brokers1.3.4 Hedgers, speculators, and arbitrageurs; 1.4 Market structure and trading strategies; 1.4.1 Primary and secondary markets; 1.4.2 Over-the-counter vs. exchange-traded derivatives; 1.4.3 Auction mechanisms and the limit order book; 1.4.4 Buying on margin and leverage; 1.4.5 Short-selling; 1.5 Market indexes; Problems; Further reading; Bibliography; 2 Basic Problems in Quantitative Finance; 2.1 Portfolio optimization; 2.1.1 Static portfolio optimization: Meanâ#x80;#x93;variance efficiency
  • 2.1.2 Dynamic decision-making under uncertainty: A stylized consumptionâ#x80;#x93;saving model2.2 Risk measurement and management; 2.2.1 Sensitivity of asset prices to underlying risk factors; 2.2.2 Risk measures in a non-normal world: Value-atrisk; 2.2.3 Riskmanagement: Introductory hedging examples; 2.2.4 Financial vs. nonfinancial risk factors; 2.3 The no-arbitrage principle in asset pricing; 2.3.1 Why do we need asset pricing models?; 2.3.2 Arbitrage strategies; 2.3.3 Pricing by no-arbitrage; 2.3.4 Option pricing in a binomial model
  • 2.3.5 The limitations of the no-arbitrage principle2.4 The mathematics of arbitrage
  • 2.4.1 Linearity of the pricing functional and law of one price
  • 2.4.2 Dominant strategies
  • 2.4.3 No-arbitrage principle and risk-neutral measures
  • S2.1 Multiobjective optimization
  • S2.2 Summary of LP duality
  • Problems
  • Further reading
  • Bibliography
  • Part II Fixed-income assets
  • 3 Elementary Theory of Interest Rates
  • 3.1 The time value of money: Shifting money forward in time
  • 3.1.1 Simple vs. compounded rates
  • 3.1.2 Quoted vs. effective rates: Compounding frequencies3.2 The time value of money: Shifting money backward in time
  • 3.2.1 Discount factors and pricing a zero-coupon bond
  • 3.2.2 Discount factors vs. interest rates
  • 3.3 Nominal vs. real interest rates
  • 3.4 The term structure of interest rates
  • 3.5 Elementary bond pricing
  • 3.5.1 Pricing coupon-bearing bonds
  • 3.5.2 Frombond prices to term structures, and vice versa
  • 3.5.3 What is a risk-free rate, anyway?
  • 3.5.4 Yield-to-maturity
  • 3.5.5 Interest rate risk
  • 3.5.6 Pricing floating rate bonds