2: Analytical Finance: Volume Ii: The Mathematics Of Interest Rate Derivatives, Markets, Risk And Valuation

  • Publish Date: 2017-12-02
  • Binding: Paperback
  • Author: Jan R. M. Rman
  • $117.25

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Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the authors many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mlardaran 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 arithmetics, 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 NewtonRaphson 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

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