The Resource Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation, by Jan R. M. Röman, (electronic resource)

Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation, by Jan R. M. Röman, (electronic resource)

Label
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Title
Analytical Finance: Volume II
Title remainder
The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Statement of responsibility
by Jan R. M. Röman
Creator
Author
Author
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 Malardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Volume I – Equity Derivatives Markets, Valuation and Risk Management. Coverage includes: The fundamentals of stochastic processes used in finance including the change of measure with Girsanov transformation and the fundamentals of probability throry. Discrete time models, such as various binomial models and numerical solutions to Partial Differential Equations (PDEs) Monte-Carlo simulations and Value-at-Risk (VaR) Continuous time models, such as Black–Scholes-Merton and similar with extensions Arbitrage theory in discrete and continuous time models Volume II – Interest Rate Derivative Markets, Valuation and Risk Management Coverage includes: Interest Rates including negative interest rates Valuation and model most kinds of IR instruments and their definitions. Bootstrapping; how to create an interest curve from prices of traded instruments. The multi curve framework and collateral discounting Difference of bootstrapping for trading and IR Risk Models and risk with positive and negative interest rates. Risk measures of IR instruments Option Adjusted Spread and embedded optionality. Pricing theory, calibration and stochastic processes of interest rates Numerical methods; Binomial and trinomial trees, PDEs (Crank–Nicholson), Newton–Raphson in 2 dimension. Black models, Normal models and Market models Pricing before and after the credit crises and the multiple curve framework. Valuation with collateral agreements, CVA, DVA and FVA
http://library.link/vocab/creatorName
Röman, Jan R. M
Dewey number
332.6457
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
Ht5Yfyw76CA
Image bit depth
0
LC call number
HG176.7
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/subjectName
  • Financial engineering
  • Finance
  • Capital market
  • Risk management
  • Financial Engineering
  • Quantitative Finance
  • Capital Markets
  • Risk Management
Label
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation, by Jan R. M. Röman, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Pricing via Arbitrage -- The Central Limit Theorem -- The Binomial model -- More on Binomial models -- Finite difference methods -- Value-at-Risk – VaR -- Introduction to probability theory -- Stochastic integration -- Partial parabolic differential equations and Feynman-Kač -- The Black-Scholes-Merton model -- American versus European options -- Analytical pricing formulas for American options -- Poisson processes and jump diffusion -- Diffusion models in general -- Hedging -- Exotic Options -- Volatility -- Something about weather derivatives -- A Practical guide to pricing -- Pricing using deflators -- Securities with dividends -- Some Fixed-Income securities and Black-Scholes
Dimensions
unknown
Extent
1 online resource (XXXI, 728 p. 141 illus.)
File format
multiple file formats
Form of item
online
Isbn
9783319525846
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-319-52584-6
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000001381617
  • (DE-He213)978-3-319-52584-6
  • (MiAaPQ)EBC5178262
  • (EXLCZ)994100000001381617
Label
Analytical Finance: Volume II : The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation, by Jan R. M. Röman, (electronic resource)
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Pricing via Arbitrage -- The Central Limit Theorem -- The Binomial model -- More on Binomial models -- Finite difference methods -- Value-at-Risk – VaR -- Introduction to probability theory -- Stochastic integration -- Partial parabolic differential equations and Feynman-Kač -- The Black-Scholes-Merton model -- American versus European options -- Analytical pricing formulas for American options -- Poisson processes and jump diffusion -- Diffusion models in general -- Hedging -- Exotic Options -- Volatility -- Something about weather derivatives -- A Practical guide to pricing -- Pricing using deflators -- Securities with dividends -- Some Fixed-Income securities and Black-Scholes
Dimensions
unknown
Extent
1 online resource (XXXI, 728 p. 141 illus.)
File format
multiple file formats
Form of item
online
Isbn
9783319525846
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-319-52584-6
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000001381617
  • (DE-He213)978-3-319-52584-6
  • (MiAaPQ)EBC5178262
  • (EXLCZ)994100000001381617

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