Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Amazon.com Price: $63.06 (as of 11/10/2019 15:28 PST- Details)

Categories: , , , , , , , , , , , , , , ,

Description

Analytical Finance is a comprehensive introduction to the financial engineering of equity and rate of interest instruments for financial markets. Developed from notes from the creator’s a few years in quantitative risk management and modeling roles, after which for the Financial Engineering course at Mälardalen University, it supplies 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 varieties of rate of interest 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 the best way to create rate of interest 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-Even as, CIR
• Numerical models; Black-Derman-Toy and forward induction the use of 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, a couple of curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Related products

Home » Shop » Books » Specialty Boutique » New, Used and Rental Textbooks » Science and Mathematics » Mathematics » Applied » Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Recent Products