Mathematics of the financial markets PDF

Mathematics of the financial markets PDF

Mathematics of the financial markets PDF- Alain Ruttiens ( Financial Instruments and Derivatives Modeling, Valuation and Risk Issues )- The aim of this book is to present the quantitative aspects of financial markets instruments and their derivatives.

Category: Forex

Author: Alain Ruttiens 

Language: English

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Introduction

The aim of this book is to present the quantitative aspects of financial markets instruments and their derivatives. With such a broad scope, it goes without saying that it remains a “general” book, which is why, at the end of each of the chapters, there is a list of further reading for those who want to expand the topic (this also applies at a global level, cf. the end of this Introduction). Ideally, everyone concerned with financial markets – whether a trader, a risk manager, a sales person, an accountant, or managing a fund, an institutional or a bank, and so on, or else a student in finance, of course – should have to be aware of what is happening, quantitatively speaking, behind the financial instruments’ behaviors.

In writing this book, my concern was twofold: to sort out what really needs to be mastered, and to write up the text in the most pedagogical way. I hope that with both my 25-year professional experience in financial markets and my teaching activities, this objective will have been reached in a satisfactory way.

As regards the mathematical formulae, they are not proved, except when the proof brings some useful insight. Rather, I have tried to justify as much as possible their importance, and to translate them from algebra into plain English. After all, the vast majority of people involved with financial markets do not compute prices, sensitivities, and so on since they have access to data providers such as Bloomberg, where almost everything is valued. Therefore, it is not a question of replacing the computer but of having some command of these calculations, both for a safety reason – it is better to understand what is behind the data we manipulate – and to be able to appreciate the order of magnitude of the prices we are confronted with. And even sometimes to be capable of drafting some rough calculation aside from the market data.

Also, I have tried as much as possible to avoid excessive formalism – formalism is securing the outputs of research, but may, in other circumstances, burden the understanding by nonmathematicians. This is the case, for example, in Chapter 8, The Basis of Stochastic Calculus. Besides the basics of algebra and probabilities and statistics, there is no prerequisite for using this book.

Contents- Mathematics of the financial markets PDF

PART I THE DETERMINISTIC ENVIRONMENT
1 Prior to the Yield Curve: Spot and Forward Rates 
2 The Term Structure or Yield Curve 
3 Spot Instruments 
4 Equities and Stock Indexes 
5 Forward Instruments 
6 Swaps
7 Futures 

PART II THE PROBABILISTIC ENVIRONMENT
8 The Basis of Stochastic Calculus 
9 Other Financial Models: From ARMA to the GARCH Family 
10 Option Pricing in General 
11 Options on Specific Underlyings and Exotic Options 
12 Volatility and Volatility Derivatives 
13 Credit Derivatives 
14 Market Performance and Risk Measures 
15 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation
Bibliography
Index

About the author

Alain Ruttiens  has an MA degree in Chemical Engineering (Faculté Polytechnique de Mons, Belgium). He joined the former Banque Indosuez in Belgium in 1981, and ended his bank career as Director of Financial Engineering Department in CBC Banque, Brussels (affiliate of KBC Bank).

In 2004, he started his own business as Partner of NEURON sàrl, consulting on financial markets and funds management (Luxembourg). He is also Affiliate Professor at the Ecole Supérieure de Commerce de Paris, and teaches in several universities and institutions, a.o. HEC Paris, the Sorbonne University of Paris I, the Institut d’Etudes Politiques (Paris), and the Ecole Supérieure des Affaires, Beirut (Lebanon). Alain is the author of several books and research papers.

More about: Alain Ruttiens

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