Technical Guide to Mathematical Finance

Derek Zweig is the Chief Executive Officer and co-founder of Value Analytics, a data and analytics firm specializing in equity markets. Prior to founding Value Analytics, he worked as a capital markets risk analyst at a large regional bank where he specialized in market and counterparty risk. Along with his experience in risk, Derek spent much of his career valuing business interests and intangible assets of private and public companies. He is an active member of the CFA Institute and the Global Association of Risk Professionals. He has a graduate certificate in Financial Engineering from Columbia University, an M.S. in Applied Economics from Johns Hopkins University, and a B.S. in Finance from the Ohio State University. Derek regularly tutors children and young adults in mathematics, and enjoys rock climbing, pickup basketball and volleyball, and spending endless hours clowning around with his daughter.

• 1. Introduction. 1.1. Notation and Formatting. 2. Basics. 2.1. Time Value of Money. 2.2. Continuous vs. Discrete Compounding. 3. Fixed Income. 3.1. Opportunity Cost of Capital. 3.2. Gordon Growth Model. 4. Time Series Processes. 4.1. Deterministic Processes. 4.2. Stochastic Processes. 5. Derivative Pricing. 5.1. No Arbitrage and Risk-Neutral Probabilities. 5.2. Black-Scholes-Merton Differential Equation. 5.3. The Black-Scholes-Merton Pricing Formula. 6. Modern Portfolio Theory & CAPM. 6.1. Linear Regression. 6.2. Modern Portfolio Theory. 7. Uncertainty & Value. 7.1. Jenson’s Inequality. 7.2. Time-Declining Discount Rate. 8. Capital Structure Irrelevance. 8.1. Capital Budgeting. 9. Probability of Default. 9.1. Hazard Rates. 10. Appendix. 10.1. Rule of 72. 10.2. Quadratic Equation. 10.3. Forward Rates from Spot Rates. 10.4. Expected Future Spot Price.

“An ideal introduction to readers with an interest in Business Mathematics/Finance and Financial Engineering, "A Technical Guide to Mathematical Finance" is an unreservedly recommended pick for personal, professional, and college/university library Business & Finance collections, and for supplemental MBA curriculum studies lists.”— Midwest Book Review