 Название: An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain
Автор: Satya R. Chakravarty and Palash Sarkar
Издательство: Emerald Publishing
Год: 2020
Страниц: 209
Язык: английский
Формат: pdf (true), epub
Размер: 13.6 MB
The purpose of An Introduction to Algorithmic Finance is to provide a broad-based accessible introduction to three of the presently most important areas of computational finance, namely, option pricing, algorithmic trading and blockchain. This will provide a basic understanding required for a career in the finance industry and for doing more specialized courses in finance. An Introduction to Algorithmic Finance breaks down into three parts. The first part provides the necessary theoretical background to Derivatives, Options and Stochastic Dominance. The second part covers various algorithmic issues of finance, discussing specific algorithms, their applications and consequences.
The third part of the book is devoted to blockchain and cryptocurrency which complements the first two parts. An Introduction to Algorithmic Finance is an interesting, important read for anyone interested in or invested in the finance industry & it highlights and explains current phenomena in algorithmic finance in an articulate manner.
The financial industry is enormously important to state, national and world economies. This industry relies extensively on mathematical modeling of underlying instruments. Computational techniques become helpful in designing related algorithms that enable us to understand how markets function and also lend themselves to highly relevant research problems. To understand the application of a specific computational technique to the particular financial instrument, it becomes indispensable to have a clear perception of the underlying theory. However, because of vastness of the theoretical literature, some selection becomes necessary.
Contents:
Preface
Part I Derivatives, Options and Stochastic Dominance
Chapter 1 Background and Preliminaries
Chapter 2 Valuation of Cash Flows and Fixed Income Securities: An Abridged Analysis
Chapter 3 A Brief Analytical Exposition of Markets for Options
Chapter 4 The Binomial Model: A Simplified Analysis
Chapter 5 Brownian Motion, Itô Lemma and the Black–Scholes–Merton Model
Chapter 6 Exotic Options: An Illustrative Presentation
Chapter 7 An Abbreviated Theoretical Treatment of Stochastic Dominance Relations
Part II Algorithmic Issues
Chapter 8 Option Pricing Using Finite Difference Method
Chapter 9 Option Pricing Using Monte Carlo Methods
Chapter 10 Determining Stochastic Dominance Relations
Chapter 11 Trading: Background Notions and Market Microstructure
Chapter 12 Algorithmic Trading Strategies
Chapter 13 Portfolio Optimisation
Chapter 14 Measures of Risk
Chapter 15 High-frequency Trading
Part III Blockchain and Cryptocurrency
Chapter 16 Background Concepts for Blockchain
Chapter 17 Introduction to Blockchain
Chapter 18 Cryptocurrency: Basics
Chapter 19 Cryptocurrency: Further Issues
Chapter 20 Examples of Cryptocurrencies
Chapter 21 Applications of Blockchain
References
Index
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