A First Course in Quantitative Finance
A First Course in Quantitative Finance
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This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance introduces students to the architecture of complete financial markets before exploring the concepts and models of modern portfolio theory, derivative pricing and fixed income products in both complete and incomplete market settings. Subjects are organised throughout in a way that encourages a gradual and parallel learning process of both the economic concepts and their mathematical descriptions, framed by additional perspectives from classical utility theory, financial economics and behavioural finance. Suitable for postgraduate students studying courses in quantitative finance, financial engineering and financial econometrics as part of an economics, finance, econometric or mathematics program, this book contains all necessary theoretical and mathematical concepts and numerical methods, as well as the necessary programming code for porting algorithms onto a computer.
- Uses a unique visual teaching method based on stereoscopic illustrations, which allows 3D perception of complex graphical relationships
- Topics are structured to develop student confidence without overwhelming
- 'Quick calculations' are used to regularly check student understanding and mastery of a concept
Reviews & endorsements
'A First Course in Quantitative Finance is a gentle introduction in a complicated subject. It covers most important topics - such as portfolio optimisation, derivative pricing, and fixed income products - and discusses them from the perspective of financial economics and financial mathematics. It provides the necessary mathematical background, contains the financial discussion, and is full of illustrative examples. It will be useful for anyone who wants to study the subject area on an advanced level.' Rüdiger Kiesel, Universität Duisburg-Essen
'This is a remarkably complete book on all aspects of modern finance, covering topics from the puzzles of financial economics, through modern portfolio management to the pricing of exotic options under stochastic volatility at an equally accessible yet state-of-the-art level. Quants, portfolio managers, students and teachers of finance alike will find it to be an invaluable source of insights and a must-have reference to have on their desks.' Peter Tankov, École nationale de la statistique et de l'administration économique
Product details
March 2018Hardback
9781108419574
598 pages
254 × 179 × 30 mm
1.31kg
141 b/w illus. 34 tables
Available
Table of Contents
- 1. Introduction
- Part I. Technical Basics:
- 2. A primer on probability
- 3. Vector spaces
- 4. Utility theory
- Part II. Financial Markets and Portfolio Theory:
- 5. Architecture of financial markets
- 6. Modern portfolio theory
- 7. CAPM and APT
- 8. Portfolio performance and management
- 9. Financial economics
- 10. Behavioral finance
- Part III. Derivatives:
- 11. Forwards, futures and options
- 12. The binomial model
- 13. The Black–Scholes theory
- 14. Exotics in the Black–Scholes model
- 15. Deterministic volatility
- 16. Stochastic volatility
- 17. Processes with jumps
- Part IV. The Fixed-Income World:
- 18. Basic fixed-income instruments
- 19. Plain vanilla fixed-income derivatives
- 20. Term structure models
- 21. The LIBOR market model
- Appendix A. Complex analysis
- Appendix B. Solutions to problems.
