About the author ALAIN RUTTIENS has an MA degree in Chemical Engineering (Faculté Polytechnique de Mons, Belgium). He joined the former Banque Indosuez in Belgium in 1981, and ended his bank career as Director of Financial Engineering Department in CBC Banque, Brussels (affiliate of KBC Bank). In 2004, he started his own business as Partner of NEURON sàrl, consulting on financial markets and funds management (Luxembourg). He is also Affiliate Professor at the Ecole Supérieure de Commerce de Paris, and teaches in several universities and institutions, a.o. HEC Paris, the Sorbonne University of Paris I, the Institut d'Etudes Politiques (Paris), and the Ecole Supérieure des Affaires, Beirut (Lebanon). Alain is the author of several books and research papers.

• Foreword by A.G. MALLIARIS, Loyola University, Chicago xiMain Notations xiiiIntroduction xvPART I THE DETERMINISTIC ENVIRONMENT1 Prior to the Yield Curve: Spot and Forward Rates 32 The Term Structure or Yield Curve 133 Spot Instruments 234 Equities and Stock Indexes 475 Forward Instruments 756 Swaps 917 Futures 119PART II THE PROBABILISTIC ENVIRONMENT8 The Basis of Stochastic Calculus 1479 Other Financial Models: From ARMA to the GARCH Family 16510 Option Pricing in General 17511 Options on Specific Underlyings and Exotic Options 20912 Volatility and Volatility Derivatives 23713 Credit Derivatives 25714 Market Performance and Risk Measures 27515 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303Bibliography 319Index 323

About the author ALAIN RUTTIENS has an MA degree in Chemical Engineering (Faculté Polytechnique de Mons, Belgium). He joined the former Banque Indosuez in Belgium in 1981, and ended his bank career as Director of Financial Engineering Department in CBC Banque, Brussels (affiliate of KBC Bank). In 2004, he started his own business as Partner of NEURON sàrl, consulting on financial markets and funds management (Luxembourg). He is also Affiliate Professor at the Ecole Supérieure de Commerce de Paris, and teaches in several universities and institutions, a.o. HEC Paris, the Sorbonne University of Paris I, the Institut d'Etudes Politiques (Paris), and the Ecole Supérieure des Affaires, Beirut (Lebanon). Alain is the author of several books and research papers.

• Foreword by A.G. MALLIARIS, Loyola University, Chicago xiMain Notations xiiiIntroduction xvPART I THE DETERMINISTIC ENVIRONMENT1 Prior to the Yield Curve: Spot and Forward Rates 32 The Term Structure or Yield Curve 133 Spot Instruments 234 Equities and Stock Indexes 475 Forward Instruments 756 Swaps 917 Futures 119PART II THE PROBABILISTIC ENVIRONMENT8 The Basis of Stochastic Calculus 1479 Other Financial Models: From ARMA to the GARCH Family 16510 Option Pricing in General 17511 Options on Specific Underlyings and Exotic Options 20912 Volatility and Volatility Derivatives 23713 Credit Derivatives 25714 Market Performance and Risk Measures 27515 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303Bibliography 319Index 323

About the author ALAIN RUTTIENS has an MA degree in Chemical Engineering (Faculté Polytechnique de Mons, Belgium). He joined the former Banque Indosuez in Belgium in 1981, and ended his bank career as Director of Financial Engineering Department in CBC Banque, Brussels (affiliate of KBC Bank). In 2004, he started his own business as Partner of NEURON sàrl, consulting on financial markets and funds management (Luxembourg). He is also Affiliate Professor at the Ecole Supérieure de Commerce de Paris, and teaches in several universities and institutions, a.o. HEC Paris, the Sorbonne University of Paris I, the Institut d'Etudes Politiques (Paris), and the Ecole Supérieure des Affaires, Beirut (Lebanon). Alain is the author of several books and research papers.

• Foreword by A.G. MALLIARIS, Loyola University, Chicago xiMain Notations xiiiIntroduction xvPART I THE DETERMINISTIC ENVIRONMENT1 Prior to the Yield Curve: Spot and Forward Rates 32 The Term Structure or Yield Curve 133 Spot Instruments 234 Equities and Stock Indexes 475 Forward Instruments 756 Swaps 917 Futures 119PART II THE PROBABILISTIC ENVIRONMENT8 The Basis of Stochastic Calculus 1479 Other Financial Models: From ARMA to the GARCH Family 16510 Option Pricing in General 17511 Options on Specific Underlyings and Exotic Options 20912 Volatility and Volatility Derivatives 23713 Credit Derivatives 25714 Market Performance and Risk Measures 27515 Beyond the Gaussian Hypothesis: Potential Troubles with Derivatives Valuation 303Bibliography 319Index 323