Contents

• 1 INTRODUCTION
  • 1.1 How to study this course at 3 levels: the meaning of
  • 1.2 Capital and markets
  • 1.3 The risk and return from conventional assets
  • 1.4 Modern portfolio theory and basic risk management strategies
  • 1.5 Historical data and modeling
  • 1.6 Computer quiz
  • 1.7 Exercises
  • 1.8 Further reading and links
  • 1.9 Quick intermediate evaluation form
  
  
• 2 A VARIETY OF SECURITIES
  • 2.1 The stock market and its derivatives
  • 2.2 The credit market and its derivatives
  • 2.3 Convertible bonds
  • 2.4 Hedging parameters, portfolio sensitivity
  • 2.5 Computer quiz
  • 2.6 Exercises
  • 2.7 Further reading and links
  • 2.8 Quick intermediate evaluation form
  
  
• 3 FORECASTING WITH UNCERTAINTY
  • 3.1 Option pricing for dummies
  • 3.2 Simple valuation model using binomial trees
  • 3.3 Improved model using stochastic calculus
  • 3.4 Hedging an option with the underlying (Black-Scholes)
  • 3.5 Hedging a bond with another bond (Vasicek)
  • 3.6 Computer quiz
  • 3.7 Exercises
  • 3.8 Further reading and links
  • 3.9 Quick intermediate evaluation form
  
  
• 4 EUROPEAN OPTION PAYOFF DYNAMICS
  • 4.1 Plain vanilla stock options
  • 4.2 Exotic stock options
  • 4.3 Methods for European options: analytic formulation
  • 4.4 Methods for European options: finite differences (FD)
  • 4.5 Methods for European options: Monte-Carlo sampling (MCS)
  • 4.6 Computer quiz
  • 4.7 Exercises
  • 4.8 Further reading and links
  • 4.9 Quick intermediate evaluation form
  
  
• 5 BONDS, SWAPS AND DERIVATIVES
  • 5.1 Discound bonds
  • 5.2 Credit derivatives
  • 5.3 Methods for bonds and derivatives: finite elements (FEM)
  • 5.4 Computer quiz
  • 5.5 Exercises
  • 5.6 Further reading and links
  • 5.7 Quick intermediate evaluation form
  
  
• 6 AMERICAN OPTION PAYOFF DYNAMICS
  • 6.1 American stock options
  • 6.2 Methods for American options: finite elements (FEM)
  • 6.3 Computer quiz
  • 6.4 Exercises
  • 6.5 Further reading and links
  • 6.6 Quick intermediate evaluation form
  
  
• 7 EXTREMAL EVENTS
  • 7.1 Basel accord on banking
  • 7.2 Value at risk (VaR)
  • 7.3 Copulas for risk management
  
  
• 8 MULTI-FACTOR MODELS
  • 8.1 Principal components analysis
  • 8.2 Martingales and measures
  • 8.3 Two factor models
  
  
• 9 LEARNING LABORATORY ENVIRONEMENT
  • 9.1 Typesetting with TEX
  • 9.2 Programming in JAVA
  • 9.3 VMarket parameters and preset in HTML
  • 9.4 Quick intermediate evaluation form
  
  
• 10 APPENDIX
  • 10.1 Glossary of keywords
  • 10.2 Notation and symbols
  • 10.3 Final interactive evaluation form