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Analytical Finance: Volume II - The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation (Paperback, 1st ed. 2017)
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Analytical Finance: Volume II - The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation (Paperback, 1st ed. 2017)
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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 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. 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
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