Mathematical Analysis of Financial Markets

Mathematical knowledge has been developed trough time; and in our time, we still use this knowledge like the number pi π discovered by the Egyptians. Basic mathematic analysis of how financial markets work and different valuation models such as the Stochastic Market Price Estimator, valuation model created by the author.


Chapter One ; Introduction
Chapter Two ; Financial Markets:an overview
2.1 Market Concept
2.2 Primary Markets
2.3 Secondary Markets
2.4 Over the Counter Markets (OTC-Markets)
2.5 Market Efficiency
Chapter; Three Elementary Mathematical Finance
3.1 Interpretation of Interest Rates
3.1.1 Real Risk-Free Interest Rate
3.1.2 Inflation Premium
3.1.3 Default Risk Premium
3.1.4 Liquidity Premium
3.1.5 Maturity Premium
3.2 Time Value of a Single Cash Flow
3.3 The Frequency of Compounding
3.4 The Equivalence of Interest Rates
3.5 Unknown Interest Rates According to Maturity
Chapter Four: Basic Statistical and Probability Concepts in Mathematical Finance
4.1 Fundaments of Statistics
4.2 Frequency Distributions
4.3 Graphic Representation
4.4 The Arithmetic Mean
4.5 The Geometric Mean
4.6 The Harmonic Mean
4.7 The Median
4.8 The Mode
4.9 The Variance
4.10 The Standard Deviation
4.11 Skewness
4.12 Kurtosis
4.13 Covariance
4.14 Expected Value
4.15 Correlation
Chapter Five; The Stock Market
5.1 What are Stocks?
5.2 Common Stocks
5.3 Preferred Stocks
5.4 Treasury Stocks
5.5 Security Valuation
5.5.1 Macroeconomic Analysis
5.5.2 Industry Analysis
5.5.3 Company Analysis
5.6 Weight and Expected Returns in Portfolio Analysis
5.7 The Capital Asset Pricing Model – CAPM
Chapter Six;Money Market and Bond Valuation
6.1 Bond Features
6.2 Intrinsic Features
6.3 Bond Valuation
6.4 Duration
6.5 Convexity
6.6 Market Price Equation
Chapter Seven: Derivative Markets and Securities
7.1 Overview of Derivatives
7.2 Forward Contracts
7.3 Future Contracts
7.4 Forward Interest Rates
7.5 Swaps
7.5 Options
Chapter Eight; Price Behavior in the Financial Markets and the Stochastic
Market Price Estimator Model
8.1 Technical Analysis
8.2 External Variables
8.3 Tendency Indicator
8.4 The Stochastic Market Price Estimation Model – SMPE

Author: Aldo Fabricio Gutierrez Gomez

Source: Blekinge Institute of Technology

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