An Introduction to Quantitative Finance

Stephen Blyth, Professor of the Practice of Statistics and Managing Director of Harvard Management Company, Harvard University

Stephen Blyth is managing director and head of public markets at the Harvard Management Company, the subsidiary of Harvard University responsible for the management of the University's endowment. He is also Professor of the Practice of Statistics at Harvard University.
Before joining Harvard in 2006, Professor Blyth was managing director and head of the Global Rates proprietary trading group at Deutsche Bank in London, and managing director in the Interest Rate Group at Morgan Stanley in New York.
Professor Blyth is a frequent speaker at international finance conferences and has written widely on issues facing practitioners in applied quantitative finance and in derivative markets. He holds a PhD in Statistics from Harvard University and an MA in Mathematics with first class honours from Christ's College, Cambridge University, where he is a Lady Margaret Beaufort Fellow. He was formerly a Lecturer in Mathematics at Imperial College London.

I Introduction and Preliminaries
1. Introduction
2. Preliminaries
II Forwards, Swaps and Options
3. Forward contracts and forward prices
4. Forward rates and libor
5. Interest rate swaps
6. Futures contracts
7. No-arbitrage principle
8. Options
III Replication, risk-neutrality and the fundamental theorem
9. Replication and risk-neutrality on the binomial tree
10. Martingales, numeraires and the fundamental theorem
11. Continuous time limit and Black-Scholes formula
12. Option price and probability duality
IV Interest Rate Options
13. Caps, floors and swaptions
14. Cancellable swaps and Bermudan swaptions
15. Additional topics in interest rate derivatives
V Through Continuous Time
16. Rough guide to continuous time