Analytical Finance: Volume II

The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Finance & Investing, Finance
Cover of the book Analytical Finance: Volume II by Jan R. M. Röman, Springer International Publishing
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Author: Jan R. M. Röman ISBN: 9783319525846
Publisher: Springer International Publishing Publication: November 30, 2017
Imprint: Palgrave Macmillan Language: English
Author: Jan R. M. Röman
ISBN: 9783319525846
Publisher: Springer International Publishing
Publication: November 30, 2017
Imprint: Palgrave Macmillan
Language: English

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application.

Coverage includes:

• Date arithmetic’s, quote types of interest rate instruments  

• The interbank market and reference rates, including negative rates

• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others 

• Bootstrapping and how to create interest rate curves from prices of traded instruments

• Risk measures of IR instruments

• Option Adjusted Spread and embedded options

• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR

• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension

• The Heath-Jarrow-Morton framework

• Forward measures and general option pricing models

• Black log-normal and, normal model for derivatives, market models and managing exotics instruments

• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application.

Coverage includes:

• Date arithmetic’s, quote types of interest rate instruments  

• The interbank market and reference rates, including negative rates

• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others 

• Bootstrapping and how to create interest rate curves from prices of traded instruments

• Risk measures of IR instruments

• Option Adjusted Spread and embedded options

• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR

• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension

• The Heath-Jarrow-Morton framework

• Forward measures and general option pricing models

• Black log-normal and, normal model for derivatives, market models and managing exotics instruments

• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

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