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
Resource Information
The item Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Massey University Library, University of New Zealand.This item is available to borrow from 1 library branch.
Resource Information
The item Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Massey University Library, University of New Zealand.
This item is available to borrow from 1 library branch.
 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, HoLee, HullWhile, CIR• Numerical models; BlackDermanToy and forward induction using ArrowDebreu prices and Newton–Raphson in 2 dimension• The HeathJarrowMorton framework• Forward measures and general option pricing models• Black lognormal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapesttodeliver curves, CVA, DVA and FVA
 Language
 eng
 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
 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, HoLee, HullWhile, CIR• Numerical models; BlackDermanToy and forward induction using ArrowDebreu prices and Newton–Raphson in 2 dimension• The HeathJarrowMorton framework• Forward measures and general option pricing models• Black lognormal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapesttodeliver 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
 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
 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
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.massey.ac.nz/portal/AnalyticalfinanceVolumeIIMathematicsof/pyd8wmPuX3U/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.massey.ac.nz/portal/AnalyticalfinanceVolumeIIMathematicsof/pyd8wmPuX3U/">Analytical finance, Volume II, Mathematics of interest rate derivatives, markets, risk and valuation, Jan R. Röman</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.massey.ac.nz/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.massey.ac.nz/">Massey University Library, University of New Zealand</a></span></span></span></span></div>