Financial Mathematics, Derivatives and Structured Products

by Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li

Overview

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers.

This second edition substantially extends, updates and clarifies the previous edition. New materials and enhanced contents include, but not limited to, the role of central counterparties for derivatives transactions, the reference rates to replace LIBOR, risk-neutral modelling for futures and forward, discussions and analysis on risk-neutral framework and numéraires, discrete dividend modelling, variance reduction techniques for Monte Carlo method, finite difference method analysis, tree method, FX modelling, multi-name credit derivatives modelling, local volatility model, forward variance model and local-shastic volatility model to reflect market practice.

As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. The book can also be used as a textbook for the following courses:

• Financial Mathematics (undergraduate level)

• Shastic Modelling in Finance (postgraduate level)

• Financial Markets and Derivatives (undergraduate level)

• Structured Products and Solutions (undergraduate/postgraduate level)

Product Details

ISBN-13:	9789811336966
Publisher:	Springer-Verlag New York, LLC
Publication date:	02/27/2019
Sold by:	Barnes & Noble
Format:	eBook
File size:	17 MB
Note:	This product may take a few minutes to download.

About the Author

Prof. Raymond H. Chan, Chair Professor and Dean of College of Science, City University of Hong Kong

Yves Guo, Managing Director, BNP Paribas CIB, Central, Hong Kong

Spike T. Lee, Research Assistant, The Chinese University of Hong Kong

Prof. Xun Li, Professor, Hong Kong Polytechnic University

Table of Contents

Introduction to Financial Markets.- Interest Rate Instruments.- Equities and Equity Indices.- Foreign Exchange Instruments.- Commodities.- Credit Derivatives.- Investment Funds.- Options.- Elements of Probability.- Shastic Calculus Part I.- Black–Scholes–Merton Model for Option Pricing.- Shastic Calculus Part II.- Risk-Neutral Pricing Framework.- Numerical Methods for Option Pricing.- American Options.- Exotic Options Pricing and Hedging.- Num´eraires and the Pricing of Vanilla Interest Rate Options.- Foreign Exchange Modelling.- Local, Shastic Volatility Models, Static Hedging and Variance Swap.- Jump-diffusion Models.- Interest Rate Term Structure Modelling.- Credit Modelling.- Commodity Modelling.- Structured Products.- Popular Structured Products.- Dynamic Asset Allocation.- Systematic Strategy.

Editorial Reviews

The material included in this book covers a very wide spectrum of financial mathematics, which makes the book useful for different levels of readers, including undergraduate and graduate students as well as researchers and practitioners. The write-up is of a lecture note style, and is easy to follow.” (Wenqing Hu, Mathematical Reviews, May, 2021)

“This book would be a natural choice in advanced undergraduate courses and master's level courses in financial mathematics, financial engineering, applied shastic processes, and finance. The book would also serve as a useful reference for academics and practicing financial engineers.” (Steve Dunbar, MAA Reviews, January 12, 2020)

From the Publisher