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Publisher: Cambridge University Press
Number Of Pages: 406
Publication Date: 2008
ISBN-13 978-0-511-43831-8
Financial Products
Financial Products provides a step-by-step guide to some of the most important
ideas underpinning financial mathematics. It describes and explains interest rates,
discounting, arbitrage, risk neutral probabilities, forward contracts, futures, bonds,
FRAand swaps. It shows howto construct both elementary andmore 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,CSOandCDO).An important feature
of the book is that it explains this range of concepts and techniques in away that can be
understood by those with 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 approachmakes it anideal introductiontofinancialproducts
for undergraduates and those studying for professional financial qualifications.
Bill Dalton was Head of the Mathematics Department at Harrow School, 1978–
1998. He retired in 2006 and now writes and lectures part-time in financial
mathematics.
Contents
Introduction page 1
An introduction to Excel 9
1 A foundation 34
2 Forward contracts 69
3 The futures market 109
4 Bonds 141
5 The forward rate, forward rate agreements, swaps, caps and floors 185
6 Options 245
7 Option pricing 288
8 Credit derivatives 348
Solutions 375
Index 396
Financial.Products.An.Introduction.using.Mathematics.and.Excel.Nov.2008.pdf
(7.18 MB)
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