Ebook Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
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Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Ebook Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
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From the Back Cover
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 Malardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Volume I – Equity Derivatives Markets, Valuation and Risk Management. Coverage includes: The fundamentals of stochastic processes used in finance including the change of measure with Girsanov transformation and the fundamentals of probability throry. Discrete time models, such as various binomial models and numerical solutions to Partial Differential Equations (PDEs) Monte-Carlo simulations and Value-at-Risk (VaR) Continuous time models, such as Black–Scholes-Merton and similar with extensions Arbitrage theory in discrete and continuous time models Volume II – Interest Rate Derivative Markets, Valuation and Risk Management Coverage includes: Interest Rates including negative interest rates Valuation and model most kinds of IR instruments and their definitions. Bootstrapping; how to create an interest curve from prices of traded instruments. The multi curve framework and collateral discounting Difference of bootstrapping for trading and IR Risk Models and risk with positive and negative interest rates. Risk measures of IR instruments Option Adjusted Spread and embedded optionality. Pricing theory, calibration and stochastic processes of interest rates Numerical methods; Binomial and trinomial trees, PDEs (Crank–Nicholson), Newton–Raphson in 2 dimension. Black models, Normal models and Market models Pricing before and after the credit crises and the multiple curve framework. Valuation with collateral agreements, CVA, DVA and FVA
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About the Author
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.
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Product details
Paperback: 760 pages
Publisher: Palgrave Macmillan; 1st ed. 2017 edition (December 2, 2017)
Language: English
ISBN-10: 9783319525839
ISBN-13: 978-3319525839
ASIN: 3319525832
Product Dimensions:
6.1 x 1.7 x 9.2 inches
Shipping Weight: 2.5 pounds (View shipping rates and policies)
Average Customer Review:
5.0 out of 5 stars
1 customer review
Amazon Best Sellers Rank:
#878,891 in Books (See Top 100 in Books)
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