Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk / Patrice Poncet, Roland Portait ; with contributions by Igor Toder.
Poncet, Patrice, author.; Portait, Roland, author.; Toder, Igor, author.
2022
HG4523 .P66 2022eb
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Title Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk / Patrice Poncet, Roland Portait ; with contributions by Igor Toder.
Author Poncet, Patrice, author.
Uniform Title Finance de marché. English
ISBN 9783030846008 (electronic bk.)
3030846008 (electronic bk.)
9783030845988
3030845982
DOI https://doi.org/10.1007/978-3-030-84600-8
Published Cham : Springer, [2022]
Copyright ©2022
Language English
Language Note Translated from French.
Description 1 online resource (xxxvi, 1364 pages : illustrations (some color)).
Item Number 10.1007/978-3-030-84600-8 doi
Call Number HG4523 .P66 2022eb
Dewey Decimal Classification 332/.041
Summary This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting. Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory. Based on the authors' renown master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed November 17, 2022).
Added Author Portait, Roland, author.
Toder, Igor, author.
Series Springer texts in business and economics.
Available in Other Form Print version: 9783030845988
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Introduction: Economics and Organization of Financial Markets
Part I. Basic Finance: Interest Rates, Discounting, Investments, Loans
The Money Market and Its Interbank Segment
The Bond Markets
Introduction to the Analysis of Interest Rate and Credit Risks
The Term Structure of Interest Rates
Vanilla Floating Rate Instruments and Swaps
Stocks, Stock Markets, and Stock Indices
Part II Futures and Options
Futures and Forwards
Options (I): General Description, Parity Relations, Basic Concepts, and Valuation Using the Binomial Model
Options (II): Continuous-Time Models, Black-Scholes and Extensions
Option Portfolio Strategies: Tools and Methods
American Options and Numerical Methods
*Exotic Options
Futures Markets (2): Contracts on Interest Rates
Interest Rate Instruments: Valuation with the BSM Model, Hybrids, and Structured Products
Modeling Interest Rates and Options on Interest Rates
Elements of Stochastic Calculus
*The Mathematical Framework of Financial Markets Theory
The State Variables Model and the Valuation Partial Differential Equation
Part III Portfolio Theory and Portfolio Management
Choice Under Uncertainty and Portfolio Optimization in a Static Framework: The Markowitz Model
The Capital Asset Pricing Model
Arbitrage Pricing Theory and Multi-factor Models
Strategic Portfolio Allocation
Benchmarking and Tactical Asset Allocation
Monte Carlo Simulations
Value at Risk, Expected Shortfall, and Other Risk Measures
Modeling Credit Risk (1): Credit Risk Assessment and Empirical Analysis
Modeling Credit Risk (2): Credit-VaR and Operational Methods for Credit Risk Management
Credit Derivatives, Securitization, and Introduction to xVA.

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