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010   $a3-319-52584-0
024 7 $a10.1007/978-3-319-52584-6
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035   $a(DE-He213)978-3-319-52584-6
035   $a(MiAaPQ)EBC5178262
035   $a(PPN)238194221
035   $a(EXLCZ)994100000001381617
100   $a20171201d2017      u|             0
101 0 $aeng
135   $aurnn#008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aAnalytical Finance: Volume II$b[electronic resource] $eThe Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation /$fby Jan R. M. Röman
205   $a1st ed. 2017.
210  1$aCham :$cSpringer International Publishing :$cImprint: Palgrave Macmillan,$d2017.
215   $a1 online resource (XXXI, 728 p. 141 illus.)
311   $a3-319-52583-2 
320   $aIncludes bibliographical references and index.
327   $aPricing 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-Ka? -- 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.
330   $aAnalytical 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.
606   $aFinancial engineering
606   $aEconomics, Mathematical 
606   $aCapital market
606   $aRisk management
606   $aFinancial Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/612020
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aCapital Markets$3https://scigraph.springernature.com/ontologies/product-market-codes/616000
606   $aRisk Management$3https://scigraph.springernature.com/ontologies/product-market-codes/612040
615  0$aFinancial engineering.
615  0$aEconomics, Mathematical .
615  0$aCapital market.
615  0$aRisk management.
615 14$aFinancial Engineering.
615 24$aQuantitative Finance.
615 24$aCapital Markets.
615 24$aRisk Management.
676   $a332.6457
700   $aRöman$b Jan R. M$4aut$4http://id.loc.gov/vocabulary/relators/aut$0929458
906   $aBOOK
912   $a9910255041503321
996   $aAnalytical Finance: Volume II$92089222
997   $aUNINA