Financial Mathematics, Derivatives and Structured Products
by Raymond H. Chan (Author), Yves ZY. Guo (Author), Spike T. Lee (Author), Xun Li (Author)

About the Author
Prof. Raymond H. Chan, Chair Professor and Dean of College of Science, City University of Hong Kong
Yves GUO, Managing Director, BNP Paribas CIB, Central, Hong Kong   
Spike T. LEE, Research Assistant, The Chinese University of Hong Kong
Xun LI, Associate Professor, Hong Kong Polytechnic University     

About this book
This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses:

• Financial Mathematics (undergraduate level)
• Stochastic Modelling in Finance (postgraduate level)
• Financial Markets and Derivatives (undergraduate level)
• Structured Products and Solutions (undergraduate/postgraduate level)
  

Brief contents
Part I. Financial Markets
1. Introduction to Financial Markets
2. Interest Rate Instruments
3. Equities and Equity Indices
4. Foreign Exchange Instruments
5. Commodities
6. Credit Derivatives
7. Investment Funds
8. Options
Part II. Stochastic Calculus and Financial Modelling
9. Elements of Probability
10. Stochastic Calculus Part I
11. Black–Scholes–Merton Model for Option Pricing
12. Stochastic Calculus Part II
13. Risk-Neutral Pricing Framework
14. Numerical Methods for Option Pricing
15. American Options
16. Exotic Options Pricing and Hedging
17. Numéraires and the Pricing of Vanilla Interest Rate Options
18. Foreign Exchange Modelling
Part III. Extensions to Financial Modelling
19. Local, Stochastic Volatility Models, Static Hedging and Variance Swap
20. Jump-Diffusion Models
21. Interest Rate Term Structure Modelling
22. Credit Modelling
23. Commodity Modelling
Part IV. Structured Products and Solutions
24. Structured Products
25. Popular Structured Products
26. Dynamic Asset Allocation
27. Systematic Strategy

Pages:  395 pages
Publisher: Springer; 1st ed. 2019 edition (February 28, 2019)
Language: English
ISBN-10: 9811336954
ISBN-13: 978-9811336959

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