Coverart for item
The Resource Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman

Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman

Label
Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation
Title
Analytical finance
Title number
Volume II
Title part
Mathematics of interest rate derivatives, markets, risk and valuation
Statement of responsibility
Jan R. Röman
Title variation
Mathematics of interest rate derivatives, markets, risk and valuation
Creator
Subject
Language
eng
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
http://library.link/vocab/creatorName
Röman, Jan R. M.,
Dewey number
332.63/2
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/subjectName
  • Derivative securities
  • Interest rates
Label
Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Color
multicolored
Control code
on1015215169
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783319525846
Level of compression
unknown
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)1015215169
Label
Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Color
multicolored
Control code
on1015215169
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783319525846
Level of compression
unknown
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)1015215169

Library Locations

    • InternetBorrow it
      Albany, Auckland, 0632, NZ
Processing Feedback ...