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• Preface
• Acknowledgments
• CHAPTER 1 Setting the Stage
• Why Is This Book Different?
• Road Map of the Book
• Notes
• References
• CHAPTER 2 Building Zero Curves
• Market Instruments
• Linear Interpolation
• Cubic Splining
• Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach
• Notes
• References
• CHAPTER 3 Valuing Vanilla Options
• Black-Scholes Formulae
• Adaptations of the Black-Scholes Formulae
• Limitations of the Black-Scholes Formulae
• Application in Currency Risk Management
• Appendix
• Notes
• References
• CHAPTER 4 Simulations
• Uniform Number Generation
• Non-Uniform Number Generation
• Applications of Simulations
• Variance Reduction Techniques
• Notes
• References
• CHAPTER 5 Valuing Exotic Options
• Valuing Path-Independent, European-Style Options on a Single Variable
• Valuing Path-Dependent, European-Style Options on a Single Variable
• Valuing path-Independent, European-Style Options on Two Variables
• Valuing Path-Dependent, European-Style Options on Multiple Variables
• Notes
• References
• CHAPTER 6 Estimating Model Parameters
• Calibration of Parameters in the Black-Scholes Model
• Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options
• Using Volatility Surface
• Calibration of Interest Rate Option Model Parameters
• Statistical Estimation
• Notes
• References
• CHAPTER 7 The Effectiveness of Hedging Strategies
• Delta Hedging
• Assumptions Underlying Delta Hedging
• Beyond Delta Hedging
• Testing Hedging Strategies
• Analysis Associated with the Hedging of a European-Style Vanilla Put Option
• Notes
• References
• CHAPTER 8 Valuing Variable Annuity Guarantees
• Basic GMDB
• Death Benefit Riders
• Other Details Associated with GMDB Products
• Improving Modeling Assumptions
• Living Benefit Riders
• Notes
• References
• CHAPTER 9 Real Options
• Surrendering a GMAB Rider
• Adding Servers in a Queue
• Notes
• References
• CHAPTER 10 Parting Thoughts
• About the Author
• About the Website
• Index
• End User License Agreement