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An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain

Satya Chakravarty
Indian Statistical Institute, India

Palash Sarkar
Indian Statistical Institute, India


Product Details
Format:
Hardback
ISBN:
9781789738940
Published:
20 Aug 2020
Publisher:
Emerald Publishing Limited
Dimensions:
244 pages - 152 x 229mm
The purpose of An Introduction to Algorithmic Finance is to provide a broad-based accessible introduction to three of the presently most important areas of computational finance, namely, option pricing, algorithmic trading and blockchain. This will provide a basic understanding required for a career in the finance industry and for doing more specialized courses in finance.An Introduction to Algorithmic Finance breaks down into three parts. The first part provides the necessary theoretical background to Derivatives, Options and Stochastic Dominance. The second part covers various algorithmic issues of finance, discussing specific algorithms, their applications and consequences. The third part of the book is devoted to blockchain and cryptocurrency which complements the first two parts.An Introduction to Algorithmic Finance is an interesting, important read for anyone interested in or invested in the finance industry & it highlights and explains current phenomena in algorithmic finance in an articulate manner.
I Derivatives, Options and Stochastic Dominance 
Chapter 1. Background and Preliminaries 
Chapter 2. Valuation of Cash Flows and Fixed Income Securities: An Abridged Analysis 
Chapter 3. A Brief Analytical Exposition of Markets for Options 
Chapter 4. The Binomial Model: A Simplified Analysis 
Chapter 5. Brownian Motion, Itô Lemma and The Black-Scholes-Merton Model 
Chapter 6. Exotic Options: An Illustrative Presentation 
Chapter 7. An Abbreviated Theoretical Treatment of Stochastic Dominance Relations

II Algorithmic Issues
Chapter 8. Option Pricing Using Finite Difference Method
Chapter 9. Option Pricing Using Monte Carlo Methods 
Chapter 10. Determining Stochastic Dominance Relations
Chapter 11. Trading: Background Notions and Market Microstructure
Chapter 12. Algorithmic Trading Strategies
Chapter 13. Portfolio Optimisation
Chapter 14. Measures of Risk
Chapter 15. High Frequency Trading 

III Blockchain and Cryptocurrency
Chapter 16. Background Concepts for Blockchain
Chapter 17. Introduction to Blockchain
Chapter 18. Cryptocurrency: Basics
Chapter 19. Cryptocurrency: Further Issues
Chapter 20. Examples of Cryptocurrencies
Chapter 21. Applications of Blockchain
Satya R. Chakraarty is an Honorary Visiting Professor of Economics at the Indian Statistical Institute, Kolkata, India. He serves on the Editorial Boards of Social Choice and Welfare, Review of Income and Wealth and Journal of Economic Inequality.  

Palash Sarkar is a Professor at the Indian Statistical Institute, Kolkata. His primary research area is Cryptology. More generally, he is interested in topics at the intersection of Mathematics, Statistics and Computer Science.

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