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Financial Products

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  • Dalton,Bill
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    Abstract

    Financial Products provides a step-by-step guide to some of the most important ideas in financial mathematics. It describes and explains interest rates, discounting, arbitrage, risk neutral probabilities, forward contracts, futures, bonds, FRA and swaps. It shows how to construct both elementary and complex (Libor) zero curves. Options are described, illustrated and then priced using the Black Scholes formula and binomial trees. Finally, there is a chapter describing default probabilities, credit ratings and credit derivatives (CDS, TRS, CSO and CDO). An important feature of the book is that it explains this range of concepts and techniques in a way that can be understood by those with only a basic understanding of algebra. Many of the calculations are illustrated using Excel spreadsheets, as are some of the more complex algebraic processes. This accessible approach makes it an ideal introduction to financial products for undergraduates and those studying for professional financial qualifications.

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    Bibliographic Info

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    This book is provided by Cambridge University Press in its series Cambridge Books with number 9780521682220 and published in 2008.

    Order: http://www.cambridge.org/uk/catalogue/catalogue.asp?isbn=9780521682220
    Handle: RePEc:cup:cbooks:9780521682220

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    Web page: http://www.cambridge.org

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    Cited by:
    1. Denis Belomestny & G. Milstein & John Schoenmakers, 2010. "Sensitivities for Bermudan options by regression methods," Decisions in Economics and Finance, Springer, vol. 33(2), pages 117-138, November.
    2. Christian Fries & Joerg Kampen, 2010. "Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems," Papers 1002.5031, arXiv.org, revised Oct 2012.

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