Nicolas Privault

Nicolas Privault
Division of Mathematical Sciences
School of Physical and Mathematical Sciences
Nanyang Technological University
21 Nanyang Link, Singapore 637371
Tel. +65 6513 7176

nprivault at ntu.edu.sg

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Markov Chains

Lecture Notes: pdf 746 pages pdf 602 pages.

Interest Rate Models

Textbook: Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing, Third Edition, World Scientific, 2021, 368 pages.

中文版: 随机利率模型及相关衍生品定价, 南开大学出版社, 2010. pdf

Notes on Stochastic Finance

Textbook: Introduction to Stochastic Finance with Market Examples, Second Edition, Chapman & Hall/CRC, 2022, 662 pages.

Contents and Introduction, i-20.

1. Assets, Portfolios and Arbitrage, 21-52.

2. Discrete-Time Market Model, 53-87.

3. Pricing and Hedging in Discrete Time, 89-147.

4. Brownian Motion and Stochastic Calculus, 149-202.

5. Continuous-Time Market Model, 203-228.

6. Black-Scholes Pricing and Hedging, 229-270.

7. Martingale Approach to Pricing and Hedging, 271-323.

8. Stochastic Volatility, 325-357.

9. Volatility Estimation, 359-385.

10. Maximum of Brownian motion, 387-416.

11. Barrier Options, 417-447.

12. Lookback Options, 449-472.

13. Asian Options, 473-506.

14. Optimal Stopping Theorem, 507-528.

15. American Options, 529-564.

16. Change of Numéraire and Forward Measures, 565-600.

17. Short Rates and Bond Pricing, 601-643.

18. Forward Rates, 645-683.

19. Pricing of Interest Rate Derivatives, 685-723.

20. Stochastic Calculus for Jump Processes, 725-770.

21. Pricing and Hedging in Jump Models, 771-796.

22. Basic Numerical Methods, 797-806.

Appendix: Background on Probability Theory, 807-843.

Exercise Solutions, 845-1240.

References and Index, 1241-1273.

Topics in Discrete Stochastic Processes

Lecture Notes

pdf

Financial Mathematics

Lecture Notes: pdf

slides

FN6516 Stochastic Calculus in Finance II

Lecture Notes: pdf

slides

FN6813 Interest Rate Derivatives

Lecture Notes: pdf

slides

FN6905 Exotic Options and Structured Products

Lecture Notes: pdf

slides

Financial Risk & Analytics

Lecture Notes: pdf

slides

Notes on Financial Risk & Analytics

Lecture Notes

pdf

Contents, i-xv.

1. Modeling Market Returns, 3-34.

2. Time Series, 35-73.

3. Processes with Jumps, 75-101.

4. Correlation and Dependence, 103-122.

5. Superhedging Risk Measure, 125-150.

6. Value at Risk, 151-174.

7. Expected Shortfall, 175-197.

8. Credit Scoring, 201-221.

9. Credit Risk - Structural Approach, 223-237.

10. Credit Risk - Reduced-Form Approach, 239-251.

11. Credit Derivatives, 253-269.

Appendix: Background on Probability Theory, 273-315.

Exercise Solutions, 317-379.

References and Index, 381-395.