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Table Of Contents

1.1 Financial Markets and Instruments
1.1.1 Basic Instruments
1.1.2 The Bank Account
1.1.3 Derivative Instruments
1.1.4 Markets
1.1.5 Contract Specifications
1.1.6 Types of Traders
1.1.7 Modelling Assumptions
1.2 Arbitrage
1.3 Arbitrage Relationships
1.3.1 The Put-Call Parity
1.3.2 The Forward Contract
1.3.3 Dividends
1.3.4 Currencies
1.3.5 Commodities
1.3.6 The Cost of Carry
Binomial Trees
2.1 Single Period Market Models
2.2 Two-Step Binomial Trees
2.2.1 European Call
2.2.2 Matching Volatility with u and d
2.3 Binomial Trees
2.3.1 European Call and Put Options
2.3.2 American Options
2.4 Moving towards The Black-Scholes Model
3.1 Information and Trading Strategies
3.2 No-Arbitrage Condition
3.3 Risk-Neutral Pricing
3.4 Complete Markets
3.5 The Fundamental Theorem of Asset Pricing
3.5.1 Examples
Exotic Options
4.1 Monte Carlo Pricing
4.2 Lookback Options
4.3 Barrier Options
4.4 Asian Options
5.1 Continuous-Time Stochastic Processes
5.1.1 Information and Filtration
5.1.2 Martingales
5.2 Brownian Motion
5.3 Itˆo’s Calculus
5.3.1 Stochastic Integrals
5.3.2 Itˆo’s Lemma
5.4 Stochastic Differential Equations
5.5 Geometric Brownian Motion
5.6 The Market Model
5.7.1 The Pricing of Options under the Black-Scholes Model
5.7.2 Hedging
5.8 The Greeks
5.9 Drawbacks of the Black-Scholes Model
Miscellaneous
6.1 Decomposing Options into Vanilla Position
6.2 Variance Swap
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Discrete Financial Mathematics

Discrete Financial Mathematics

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Published by phoeberamos

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Published by: phoeberamos on Jun 18, 2011
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02/28/2013

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