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An Introduction to Quantitative Finance


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Table of Contents

I Introduction and Preliminaries1: Introduction2: PreliminariesII Forwards, Swaps and Options3: Forward contracts and forward prices4: Forward rates and libor5: Interest rate swaps6: Futures contracts7: No-arbitrage principle8: OptionsIII Replication, risk-neutrality and the fundamental theorem9: Replication and risk-neutrality on the binomial tree10: Martingales, numeraires and the fundamental theorem11: Continuous time limit and Black-Scholes formula12: Option price and probability dualityIV Interest Rate Options13: Caps, floors and swaptions14: Cancellable swaps and Bermudan swaptions15: Additional topics in interest rate derivativesV Through Continuous Time16: Rough guide to continuous time

About the Author

Stephen Blyth is managing director and head of public markets at the Harvard Management Company, the subsidiary of Harvard University responsible for the management of the University's endowment. He is also Professor of the Practice of Statistics at Harvard University. 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.


Short and to the point, uncluttered, unfancy, free of the faux rigor of most modern finance textbooks, written by a practitioner, that hits most of the essential principles of quantitative finance. * Emanuel Derman, author of My Life as a Quant *
The author writes elegantly, and combines precision of expression with topical real-world examples in a way that makes this an exceptional work. * Frank Kelly, University of Cambridge *
It is all too rare to find clear thinking, based on first principles, combined with practical understanding of financial markets. This is precisely what Stephen Blyth offers, drawing equally on his mathematical and statistical training and his career in quantitative finance. This book beautifully explains both the profound implications of no-arbitrage theory for the prices of fixed-income derivative securities, and also the pitfalls in practical applications. * John Y Campbell, Harvard University *

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