Читать книгу Mathematical Techniques in Finance - Amir Sadr - Страница 3

1 Chapter 1TABLE 1.1 Balance sheet of the United States at 2020 year end.TABLE 1.2 Households sector balance sheet as of 2020 year end.TABLE 1.3 Market size ($Trillions).TABLE 1.4 U.S. bond market ($Trillions).TABLE 1.5 Global derivatives market size ($Trillions).TABLE 1.6 Market participants and financial products.

2 Chapter 2TABLE 2.1 Future Value of $100,000 for a 2 year ( ) loan with per annum.TABLE 2.2 Interest for principal of $1,000,000 and interest rate per year ...TABLE 2.3 Sensitivity measures for three different bonds.TABLE 2.4 Discount factor curve construction via bootstrap method.TABLE 2.5 Hint for bootstrap problem.

3 Chapter 3TABLE 3.1 St. Petersburg game.TABLE 3.2 MVP portfolio for two risky assets.TABLE 3.3 Regression statistics.

4 Chapter 4TABLE 4.1 3‐month evolution of an asset and its forward price.

5 Chapter 6TABLE 6.1 Properties of normal and lognormal random variables.TABLE 6.2 Six‐month call option prices with different strikes.TABLE 6.3 Six‐month put option prices with different strikes.TABLE 6.4 BSM formulas and Greeks.TABLE 6.5 10 x 1000‐path simulation runs, random.seed(2021).

6 Chapter 7TABLE 7.1 Fixed leg's cash flows of a $100M 1‐year 4% fixed versus floating ...TABLE 7.2 Floating leg's cash flows of a $100M 1‐year 4% fixed versus floati...TABLE 7.3 Discount factor curve, forward 6‐month rate curve, and swap rates ...TABLE 7.4 1‐year forward start 1‐year quarterly cap with strike .TABLE 7.5 Discount factor curve at each node.TABLE 7.6 Value of $1M 6 month into a 1.5‐year Bermudan 4% p.a. semiannual s...