Authors:
- Provides a complete introduction to financial instruments, derivative products, and portfolio management
- Offers an in-depth analysis of interest and credit risks and their measures
- The self-contained presentation covers both theoretical and practical aspects
Part of the book series: Springer Texts in Business and Economics (STBE)
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Table of contents (30 chapters)
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Front Matter
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Part I
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Front Matter
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Part II
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Front Matter
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About this book
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' renowned 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.
Keywords
- Credit default swaps
- portfolio optimization
- financial primitive assets
- Money market instruments
- Stocks and bonds
- Futures
- Forwards
- Swaps
- Vanilla options
- Exotic options
- Interest rate modeling
- Interest rate swaps
- Stochastic calculus
- Asset valuation
- Portfolio theory
- Strategic asset allocation
- Value-at-risk
- Credit value-at-risk
Authors and Affiliations
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ESSEC Business School, Cergy Pontoise, France
Patrice Poncet, Roland Portait
About the authors
Roland Portait was a Professor of Finance at ESSEC Business School and at CNAM (Conservatoire National des Arts et Métiers). Masters in mathematics, Engineer in Telecommunications (Sup-Télécom) and a graduate of the Institute of Political Studies (IEP) in Paris, he also held a PhD in Finance from the Wharton School of the University of Pennsylvania. He served as a director of the “Capital market finance and asset management” Masters at CNAM and was a consultant for financial institutions and banks. He authored and co-authored five books and numerous scientific papers published in top economics and finance journals.
Igor Toder, MBA (ESSEC Business School), Engineer in Statistics (ENSAE), MSc in Applied Mathematics, Probability and Finance (University of Paris VI), is also a French Certified Chartered Accountant. He is currently Managing Director for the Risk Advisory Practice in a global consulting firm. He advises global banking clients and is in charge of large implementation projects regarding Market and Counterparty Risk Management, ALM, Basel 3 rules implementation, regulatory reports, capital market compliance topics and structural reforms.
Bibliographic Information
Book Title: Capital Market Finance
Book Subtitle: An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Authors: Patrice Poncet, Roland Portait
Series Title: Springer Texts in Business and Economics
DOI: https://doi.org/10.1007/978-3-030-84600-8
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Nature Switzerland AG 2022
Hardcover ISBN: 978-3-030-84598-8Published: 08 November 2022
eBook ISBN: 978-3-030-84600-8Published: 07 November 2022
Series ISSN: 2192-4333
Series E-ISSN: 2192-4341
Edition Number: 1
Number of Pages: XXXVI, 1364
Number of Illustrations: 49 b/w illustrations, 101 illustrations in colour
Topics: Capital Markets, Applications of Mathematics, Macroeconomics/Monetary Economics//Financial Economics, Behavioral Finance