Analytical finance. Volume II, Mathematics of interest rate derivatives, markets, risk and valuation /

Analytical finance. Volume II, Mathematics of interest rate derivatives, markets, risk and valuation /

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Bibliographic Details
Author / Creator:Röman, Jan R. M., author.
Imprint:Cham, Switzerland : Palgrave Macmillan, 2017.
Description:1 online resource
Language:English
Subject:
Derivative securities -- Mathematical models.
Interest rates -- Mathematical models.
Derivative securities -- Mathematical models.
Interest rates -- Mathematical models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11399403
Hidden Bibliographic Details
Varying Form of Title:Mathematics of interest rate derivatives, markets, risk and valuation
ISBN:9783319525846
3319525840
9783319525839
3319525832
Digital file characteristics:text file PDF
Notes:Includes bibliographical references and index.
Vendor-supplied metadata.
Summary: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 Mälardaran 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
Other form:Print version: Röman, Jan R.M. Analytical finance. Volume II, Mathematics of interest rate derivatives, markets, risk and valuation. Cham, Switzerland : Palgrave Macmillan, 2017 3319525832 9783319525839
Standard no.:10.1007/978-3-319-52584-6
Table of Contents:
  • Pricing via Arbitrage TheCentral Limit Theorem The Binomial model More on Binomial models Finite difference methods Value-at-Risk
  • VaR Introduction to probability theory Stochastic integration Partial parabolic differential equations and Feynman-Kač The Black-Scholes-Merton model American versus European options Analytical pricing formulas for American options Poisson processes and jump diffusion Diffusion models in general Hedging Exotic Options Volatility Something about weather derivatives APractical guide to pricing Pricing using deflators Securities with dividends Some Fixed-Income securities and Black-Scholes.

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