Analytical Finance: Volume II

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

Authors: Röman, Jan R. M.

  • Provides a comprehensive introduction to financial instruments in the interest rate marketsIncludes coverage of standard and exotic instruments
  • Explains how pricing has changed since the financial crisis
Show all benefits

Buy this book

eBook $64.99
price for USA in USD (gross)
  • ISBN 978-3-319-52584-6
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $84.99
price for USA in USD
  • ISBN 978-3-319-52583-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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 Mälardalen 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

About the authors

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.

 

Table of contents (26 chapters)

Buy this book

eBook $64.99
price for USA in USD (gross)
  • ISBN 978-3-319-52584-6
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $84.99
price for USA in USD
  • ISBN 978-3-319-52583-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Analytical Finance: Volume II
Book Subtitle
The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Authors
Copyright
2017
Publisher
Palgrave Macmillan
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-3-319-52584-6
DOI
10.1007/978-3-319-52584-6
Softcover ISBN
978-3-319-52583-9
Edition Number
1
Number of Pages
XXXI, 728
Number of Illustrations and Tables
141 b/w illustrations
Topics