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This book provides an introduction to the valuation of financial
instruments on equity markets. Written from the perspective of
trading, risk management and quantitative research functions and
written by a practitioner with many years' experience in markets
and in academia, it provides a valuable learning tool for students
and new entrants to these markets. Coverage includes: *Trading and
sources of risk, including credit and counterparty risk, market and
model risks, settlement and Herstatt risks. *Numerical methods
including discrete-time methods, finite different methods, binomial
models and Monte Carlo simulations. *Probability theory and
stochastic processes from the financial modeling perspective,
including probability spaces, sigma algebras, measures and
filtrations. *Continuous time models such as Black-Scholes-Merton;
Delta-hedging and Delta-Gamma-hedging; general diffusion models and
how to solve Partial Differential Equation using the Feynmann-Kac
representation. *The trading, structuring and hedging several kinds
of exotic options, including: Binary/Digital options; Barrier
options; Lookbacks; Asian options; Chooses; Forward options;
Ratchets; Compounded options; Basket options; Exchange and
Currency-linked options; Pay later options and Quantos. *A detailed
explanation of how to construct synthetic instruments and
strategies for different market conditions, discussing more than 30
different option strategies. With source code for many of the
models featured in the book provided and extensive examples and
illustrations throughout, this book provides a comprehensive
introduction to this topic and will prove an invaluable learning
tool and reference for anyone studying or working in this field.
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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