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
