Analytical Finance: Volume II

preview-18
  • Analytical Finance: Volume II Book Detail

  • Author : Jan R. M. Röman
  • Release Date : 2017-11-30
  • Publisher : Springer
  • Genre : Business & Economics
  • Pages : 741
  • ISBN 13 : 3319525840
  • File Size : 76,76 MB

Analytical Finance: Volume II by Jan R. M. Röman PDF Summary

Book Description: 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

Disclaimer: www.yourbookbest.com does not own Analytical Finance: Volume II books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Analytical Finance: Volume II

Analytical Finance: Volume II

File Size : 13,13 MB
Total View : 7347 Views
DOWNLOAD

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from no

Analytical Finance: Volume I

Analytical Finance: Volume I

File Size : 78,78 MB
Total View : 7487 Views
DOWNLOAD

This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and qua

Encyclopedia of Financial Models

Encyclopedia of Financial Models

File Size : 45,45 MB
Total View : 1512 Views
DOWNLOAD

Volume 2 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity