An introduction to algorithmic finance, algorithmic trading and blockchain / Satya Chakravarty, Palash Sarkar.

Format:

Book

Author/Creator:

Chakravarty, Satya R., author.

Sarkar, Palash, author.

Language:

English

Subjects (All):

Financial engineering.

Derivative securities.

Options (Finance).

Physical Description:

1 online resource (209 pages)

Edition:

1st ed.

Place of Publication:

Bingley, England : Emerald Publishing, 2020.

Summary:

The purpose of the book 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 specialised courses in finance.

Contents:

Cover

An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain

Copyright

Dedication

Contents

Preface

I - Derivatives, Options and Stochastic Dominance

1. Background and Preliminaries

2. Valuation of Cash Flows and Fixed Income Securities: An Abridged Analysis

2.1 Introduction

2.2 Net Present Value

2.3 Bond as a Fixed Income Security

3. A Brief Analytical Exposition of Markets for Options

3.1 Introduction

3.2 Payoff and Profit Functions of Some Standard Options

3.3 Options as Hedging Strategies

3.4 Forward and Futures Contracts

4. The Binomial Model: A Simplified Analysis

4.1 Introduction

4.2 Formal Framework

4.3 Valuation of Options in the Cox-Ross-Rubinstein Model

5. Brownian Motion, Itô Lemma and the Black-Scholes-Merton Model

5.1 Introduction

5.2 Preliminaries

5.3 Itô Lemma, Distribution of Stock Price and Price of a Forward Contract

5.4 The Black-Scholes-Merton Partial Differential Equation

5.5 Black-Scholes-Merton Pricing Formulae

5.6 The Greek Letters

6. Exotic Options: An Illustrative Presentation

6.1 Introduction

6.2 Asian Options

6.3 Binary or Digital Options

6.4 Barrier Options

7. An Abbreviated Theoretical Treatment of Stochastic Dominance Relations

7.1 Introduction

7.2 First-order Stochastic Dominance

7.3 Second-order Stochastic Dominance

II - Algorithmic Issues

8. Option Pricing Using Finite Difference Method

8.1 Crank-Nicolson Method

8.1.1 Finite difference mesh

8.2 American Options

8.2.1 Finite Difference Formulation

9. Option Pricing Using Monte Carlo Methods

9.1 Simulation of Wiener Process

9.2 Simulating Itô Stochastic Differential Equation

9.3 Valuing European Options.

9.4 Valuing American Options

9.5 Monte Carlo Integration

10. Determining Stochastic Dominance Relations

11. Trading: Background Notions and Market Microstructure

11.1 Trading Systems

11.2 Some Relevant Notions

11.3 Order Book

11.4 Order

11.5 Order Matching Algorithms

11.6 Algorithmic Trading

11.7 Efficient Market Hypothesis

12. Algorithmic Trading Strategies

12.1 Time Weighted Average Price

12.2 Volume Weighted Average Price

12.3 Percentage of Volume

12.4 Participation of Weighted Price

12.5 Bertsimas-Lo Dynamic Programming Strategy

12.6 Implementation Shortfall

12.7 Almgren-Chriss Efficient Trading Frontier

12.7.1 Linear Impact Functions

13. Portfolio Optimisation

13.1 Markowitz Portfolio Optimisation

13.1.1 Inclusion of a Risk-free Asset

13.1.2 Capital Asset Pricing Model

13.1.3 Further Issues

13.2 Kelly Criterion

13.3 Universal Portfolios

14. Measures of Risk

14.1 VaR and CVaR

14.2 Sharpe Ratio

14.3 Copula

14.3.1 Portfolio Risk

14.3.2 Tail Dependence and Tail Correlation

15. High-frequency Trading

15.1 Market Making

15.2 Exploiting Limit Order Book

15.3 Mean Reversion and Pairs Trading

15.4 Arbitrage

15.4.1 Put-call Parity

15.4.2 Covered Interest Rate Parity

15.5 Market Manipulation

III - Blockchain and Cryptocurrency

16. Background Concepts for Blockchain

16.1 Cryptography

16.1.1 Cryptographic Hash Function

16.1.2 Hash Function as a Random Oracle

16.1.3 Digital Signature Schemes

16.2 Distributed Computing

16.2.1 Peer-to-Peer Network

16.2.2 Gossip Protocol

16.2.3 Byzantine Agreement

16.2.4 Consensus Protocol

17. Introduction to Blockchain

17.1 Transactions

17.2 Blocks of Transactions

17.3 Public Ledger as a Blockchain

17.4 Distributed Public Ledger.

17.5 Permissionless versus Permissioned Blockchain

18. Cryptocurrency: Basics

18.1 Owner

18.2 Transactions

18.3 Cryptocurrency Addresses

18.4 Recapitulation

18.5 Creation of a Block via Proof of Work

18.6 Block Reward and Creation of Cryptocurrency

18.7 Hash Rate

18.8 Updating the Difficulty Parameter

18.9 Controlling the Rate of Money Creation

18.10 Choosing between Competing Blocks

18.11 Confirmation of Transaction

18.12 No Double Spending

18.13 The 51% Attack

19. Cryptocurrency: Further Issues

19.1 Mining Pools

19.2 Change of Rules

19.3 Forks

19.4 Value of a Cryptocurrency

19.5 Cryptocurrency Exchange

19.6 Cryptocurrency Community

19.7 Stablecoin

19.8 Criticisms of Cryptocurrencies

19.9 Government Regulations

19.10 Central Bank-issued Digital Currency

19.11 Lightning Network

19.12 Sidechain

19.13 Proof of Stake

20. Examples of Cryptocurrencies

20.1 Bitcoin

20.2 Ethereum and Smart Contracts

20.3 Ripple and Payment Systems

21. Applications of Blockchain

21.1 Fintech Applications

21.2 Logistics Management

21.3 Supply Chain Management

21.4 Governance

References

Index.

Notes:

Description based on print version record.

Description based on publisher supplied metadata and other sources.

ISBN:

1-78973-893-8

OCLC:

1183963715