Financial Products: An Introduction Using Mathematics and Excel

Bill Dalton

doi:10.1017/CBO9780511806667

Financial Products provides a step-by-step guide to some of the most important ideas in financial mathematics. It describes and explains interest rates, discounting, arbitrage, risk neutral probabilities, forward contracts, futures, bonds, FRA and swaps. It shows how to construct both elementary and complex (Libor) zero curves. Options are described, illustrated and then priced using the Black Scholes formula and binomial trees. Finally, there is a chapter describing default probabilities, credit ratings and credit derivatives (CDS, TRS, CSO and CDO). An important feature of the book is that it explains this range of concepts and techniques in a way that can be understood by those with only a basic understanding of algebra. Many of the calculations are illustrated using Excel spreadsheets, as are some of the more complex algebraic processes. This accessible approach makes it an ideal introduction to financial products for undergraduates and those studying for professional financial qualifications.

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Financial Products

An Introduction Using Mathematics and Excel

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Contents

Frontmatter
pp i-iv

Contents
pp v-vi

Introduction
pp 1-8

An introduction to Excel
pp 9-33

1 - A foundation
pp 34-68

2 - Forward contracts
pp 69-108

3 - The futures market
pp 109-140

4 - Bonds
pp 141-184

5 - The forward rate, forward rate agreements, swaps, caps and floors
pp 185-244

6 - Options
pp 245-287

7 - Option pricing
pp 288-347

8 - Credit derivatives
pp 348-374

Solutions
pp 375-395

Index
pp 396-399

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An Introduction Using Mathematics and Excel

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