Derivatives Portfolio & Risk Fixed Income Corporate Finance Probability & Measure Stochastic Models Market Microstructure Guide

Guide

Derivatives pricing0 / 17

01Forwards, calls and puts 02Combining positions 03Arbitrage and the forward price 04Put–call parity 05The one-step binomial model 06Risk-neutral probabilities 07Multi-step trees and backward induction 08American options and early exercise 09Delta and hedging 10Geometric Brownian motion 11The Black–Scholes formula 12The Greeks: gamma, vega, theta and rho 13Options on dividend-paying stocks, indices, currencies and futures 14Implied volatility and the volatility smile 15Stochastic volatility and the Heston model 16Static replication: Breeden–Litzenberger and Carr–Madan 17Exotic options: barriers, Asians and digitals

Portfolio & risk0 / 12

01Returns and volatility 02Diversification and correlation 03The efficient frontier and the capital market line 04Risk aversion and the optimal complete portfolio 05CAPM, beta and the security market line 06Performance measures: Sharpe, Treynor, Jensen and information ratio 07Factor models and systematic risk 08The Fama–French factor models 09Value at Risk and expected shortfall 10Systemic risk and contagion 11Portfolio constraints and the no-short-sales frontier 12Estimating expected returns and covariances

Fixed income0 / 10

01Bond prices and yields 02Duration and convexity 03Immunization and duration matching 04Spot rates, forward rates and the yield curve 05Non-parallel curve moves and key-rate durations 06Bond futures and the cheapest-to-deliver 07Interest rate swaps 08Callable bonds and negative convexity 09Credit risk: default probabilities and credit spreads 10Real rates, inflation and inflation-linked bonds

Corporate finance0 / 10

01Interest, compounding and discounting 02Annuities, perpetuities and loan amortization 03Net present value and internal rate of return 04Project risk: sensitivity, scenarios and Monte Carlo NPV 05The weighted average cost of capital 06Capital structure and the Modigliani–Miller theorems 07Dividends, payout policy and the dividend discount model 08Discounted cash flow valuation 09Relative valuation with multiples 10Real options: the value of flexibility

Probability and measure0 / 13

01Measuring the size of sets 02σ-algebras and Borel sets 03Lebesgue measure and null sets 04Measurable functions 05The Lebesgue integral 06Convergence theorems 07Probability spaces and Kolmogorov's axioms 08Random variables and their distributions 09Expectation, variance and inequalities 10Independence and product measures 11Modes of convergence and the law of large numbers 12Conditional probability and conditional expectation 13Measure theory in option pricing

Stochastic models0 / 17

01Random walks and Brownian motion 02The law of large numbers and the central limit theorem 03Probability spaces, σ-algebras and random variables 04Filtrations, adapted processes and stopping times 05Conditional expectation and martingales 06Properties of Brownian motion 07The reflection principle and first passage times 08The Brownian bridge 09The Itô integral 10Itô's lemma 11Kolmogorov equations and the Feynman–Kac formula 12Change of measure and Girsanov's theorem 13Monte Carlo option pricing 14Simulating SDEs: the Euler–Maruyama scheme 15Correlated Brownian motions and multi-asset models 16Mean reversion: Ornstein–Uhlenbeck and Vasicek 17Jumps and the Merton jump-diffusion model

Market microstructure0 / 11

01Market makers and liquidity 02The limit order book 03Queue position and fill probability 04Adverse selection and informed trading 05The Glosten–Milgrom model 06Measuring and decomposing the bid–ask spread 07Informed trading and Kyle's lambda 08Price impact and optimal execution 09Inventory risk and quote skewing 10Optimal quoting: the Avellaneda–Stoikov model 11Market making profit and loss attribution

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