Analytical Finance

ebook ∣ Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

By Jan R. M. Röman

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Format

ebook

ISBN

9783319525839

Author

Jan R. M. Röman

Publisher

Springer International Publishing

Release

30 November 2017

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Subjects

Business Mathematics Management Nonfiction

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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

    • Format

    ebook

    ISBN

    9783319525839

    Author

    Jan R. M. Röman

    Publisher

    Springer International Publishing

    Release

    30 November 2017

    Share

    Subjects

    Business Mathematics Management Nonfiction
    Analytical Finance