Description
Analytical Finance: Volume II, 1st ed. 2017
The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Language: EnglishSubjects for Analytical Finance: Volume II:
Keywords
Financial risk management; Fixed income instruments; Financial derivatives; Pricing interest rate instruments; Stochastic processes; Credit derivatives; Nelson-Siegel model; Option Adjusted Spread method; Negative interest rates; Convertible bonds; Yield curves; Bootstrapping; Pricing theory; Martingale measures; Term structure models; Exotic instruments; Convertible bonds; Multi-curve framework; Credit Value Adjustment; LIBOR Market Model
Support: Print on demand
Description
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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 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:
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.
Jan Roman is Financial Engineer in the Quantitative Risk Modelling Group at Swedbank Robur Funds, where he specializes in risk model validation, focusing on all inputs to front office systems including interest rates and volatility structures. He has over 16 years financial markets experience mostly in financial modeling and valuation in derivatives environments. He has held positions as Head of Market and Credit Risk, Swedbank Markets, Senior Risk Analyst at the Swedish financial Supervisory Authority, Senior Developer at SunGard and Senior Developer, OMX Stockholm Exchange.
Jan is also Senior Lecturer, Malardaran University, Sweden, where he teaches Analytical finance and financial engineering. He holds a PhD in Theoretical Physics from Chalmers University of Technology.