Transcription of Introduction to Quantitative Finance
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Introduction to Quantitative Finance
Introduction to Quantitative FinanceJos CorcueraContents1 Financial Discrete time models .. Strategies of investment .. Admissible strategies and arbitrage .. Martingales and opportunities of arbitrage .. Complete markets and option pricing .. American options .. The optimal stopping problem .. Application to American options .. Continuous-time models .. Continuous-time Martingales .. Stochastic Integration .. It o s Calculus .. The Girsanov theorem .. The Black-Scholes model .. Multidimensional Black-Scholes model with continuous div-idends .. Currency options .. Stochastic volatility .. Fourier methods for pricing .. 672 Interest rates Basic facts .. The yield curve .. Yield curve for a random future .. Interest rates .. Bonds with coupons, swaps, caps and floors.
1.1. DISCRETE TIME MODELS 5 1.1.1 Strategies of investment A strategy of investment is a stochastic processes (a sequence or random vari-ables in the discrete time setting) φ = ((φ0 n
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