Quantitative Analysis, Derivatives Modeling and Trading Strategies addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors’ own research and practice. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.
This book is written from the point of view of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and often tedious) technical conditions. It does not aim to be comprehensive; rather, it focuses on selected areas based on the authors’ experience and expertise. It also attempts to combine economic and financial insights with mathematics and modeling so as to help the reader develop intuitions.
This book also presents various exploratory (and possibly thoughtprovoking) ideas and practical issues that are beneficial to academics and practitioners as the leads for further research. In terms of a popular saying that “the engineers have problems, but no solutions, and the mathematicians have solutions, but no problems,” we are trying to supply some solutions, as well as some problems as part of the book.
- Introduction to Counterparty Credit Risk
- Martingale Arbitrage Pricing in Real Market
- The Black-Scholes Framework and Extensions
- Introduction to Interest Rate Term Structure Modeling
- The Heath-Jarrow-Morton Framework
- The Interest Rate Market Model
- Credit Risk Modeling and Pricing
- Simple Interest Rate Products
- Yield Curve Modeling
- Two-Factor Risk Model
- The Holy Grail – Two-Factor Interest Rate Arbitrage
- Yield Decomposition Model
- Inflation Linked Instruments Modeling
- Interest Rate Proprietary Trading Strategies