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Before joining Harvard in 2006, Professor Blyth was managing director and head of the Global Rates proprietary trading group at Deutsche Bank in London, and managing director in the Interest Rate Group at Morgan Stanley in New York.
Professor Blyth is a frequent speaker at international finance conferences and has written widely on issues facing practitioners in applied quantitative finance and in derivative markets. He holds a PhD in Statistics from Harvard University and an MA in Mathematics with first class honours from Christ's College, Cambridge University, where he is a Lady Margaret Beaufort Fellow. He was formerly a Lecturer in Mathematics at Imperial College London.
- I Introduction and Preliminaries
- 1: Introduction
- 2: Preliminaries
- II Forwards, Swaps and Options
- 3: Forward contracts and forward prices
- 4: Forward rates and libor
- 5: Interest rate swaps
- 6: Futures contracts
- 7: No-arbitrage principle
- 8: Options
- III Replication, risk-neutrality and the fundamental theorem
- 9: Replication and risk-neutrality on the binomial tree
- 10: Martingales, numeraires and the fundamental theorem
- 11: Continuous time limit and Black-Scholes formula
- 12: Option price and probability duality
- IV Interest Rate Options
- 13: Caps, floors and swaptions
- 14: Cancellable swaps and Bermudan swaptions
- 15: Additional topics in interest rate derivatives
- V Through Continuous Time
- 16: Rough guide to continuous time
| Erscheinungsjahr: | 2013 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Inhalt: | Kartoniert / Broschiert |
| ISBN-13: | 9780199666591 |
| ISBN-10: | 0199666598 |
| Sprache: | Englisch |
| Einband: | Kartoniert / Broschiert |
| Autor: | Blyth, Stephen |
| Hersteller: | Hurst & Co. |
| Maße: | 233 x 154 x 15 mm |
| Von/Mit: | Stephen Blyth |
| Erscheinungsdatum: | 01.12.2013 |
| Gewicht: | 0,296 kg |
Before joining Harvard in 2006, Professor Blyth was managing director and head of the Global Rates proprietary trading group at Deutsche Bank in London, and managing director in the Interest Rate Group at Morgan Stanley in New York.
Professor Blyth is a frequent speaker at international finance conferences and has written widely on issues facing practitioners in applied quantitative finance and in derivative markets. He holds a PhD in Statistics from Harvard University and an MA in Mathematics with first class honours from Christ's College, Cambridge University, where he is a Lady Margaret Beaufort Fellow. He was formerly a Lecturer in Mathematics at Imperial College London.
- I Introduction and Preliminaries
- 1: Introduction
- 2: Preliminaries
- II Forwards, Swaps and Options
- 3: Forward contracts and forward prices
- 4: Forward rates and libor
- 5: Interest rate swaps
- 6: Futures contracts
- 7: No-arbitrage principle
- 8: Options
- III Replication, risk-neutrality and the fundamental theorem
- 9: Replication and risk-neutrality on the binomial tree
- 10: Martingales, numeraires and the fundamental theorem
- 11: Continuous time limit and Black-Scholes formula
- 12: Option price and probability duality
- IV Interest Rate Options
- 13: Caps, floors and swaptions
- 14: Cancellable swaps and Bermudan swaptions
- 15: Additional topics in interest rate derivatives
- V Through Continuous Time
- 16: Rough guide to continuous time
| Erscheinungsjahr: | 2013 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Inhalt: | Kartoniert / Broschiert |
| ISBN-13: | 9780199666591 |
| ISBN-10: | 0199666598 |
| Sprache: | Englisch |
| Einband: | Kartoniert / Broschiert |
| Autor: | Blyth, Stephen |
| Hersteller: | Hurst & Co. |
| Maße: | 233 x 154 x 15 mm |
| Von/Mit: | Stephen Blyth |
| Erscheinungsdatum: | 01.12.2013 |
| Gewicht: | 0,296 kg |
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