Analytical Finance: Volume II (eBook)

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

Jan R. M. Röman (Autor)

eBook Download: PDF

2017 | 1st ed. 2017
XXXI, 728 Seiten
Springer International Publishing (Verlag)
978-3-319-52584-6 (ISBN)

Infos

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

Jan Roman is Financial Engineer in the Quantitative Risk Modelling Group at Swedbank Robur Funds, where he specializes in risk model validation, focusing on all inputs to front office systems including interest rates and volatility structures. He has over 16 years financial markets experience mostly in financial modeling and valuation in derivatives environments.  He has held positions as Head of Market and Credit Risk, Swedbank Markets, Senior Risk Analyst at the Swedish financial Supervisory Authority, Senior Developer at SunGard  and Senior Developer, OMX Stockholm Exchange.

Jan is also Senior Lecturer, Malardaran University, Sweden, where he teaches Analytical finance and financial engineering. He holds a PhD in Theoretical Physics from Chalmers University of Technology.

 

Inhalt

Pricing via Arbitrage The Central 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 A Practical guide to pricing Pricing using deflators Securities with dividends Some Fixed-Income securities and Black-Scholes  

Produkt-Details

• Erscheint lt. Verlag: 30.11.2017
• Zusatzinfo: XXXI, 728 p. 141 illus.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Bootstrapping • Convertible Bonds • credit derivatives • Credit Value Adjustment • Exotic instruments • Financial derivatives • financial risk management • Fixed Income Instruments • Libor Market Model • Martingale measures • multi-curve framework • Negative interest rates • Nelson-Siegel model • Option Adjusted Spread method • Pricing interest rate instruments • Pricing Theory • Stochastic Processes • Term Structure Models • Yield curves
• ISBN-10: 3-319-52584-0 / 3319525840
• ISBN-13: 978-3-319-52584-6 / 9783319525846