Mathematics of the Financial Markets

TABLE OF CONTENTS
Foreword by A.G. MALLIARIS, Loyola University, Chicago
Main Notations
Introduction
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