LEADER 04613nam 22006015 450 001 9910255041503321 005 20240326113113.0 010 $a9783319525846 010 $a3319525840 024 7 $a10.1007/978-3-319-52584-6 035 $a(CKB)4100000001381617 035 $a(DE-He213)978-3-319-52584-6 035 $a(MiAaPQ)EBC5178262 035 $a(PPN)238194221 035 $a(Perlego)3497885 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 $eThe Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation /$fby Jan R. M. Röman 205 $a1st ed. 2017. 210 1$aCham :$cSpringer International Publishing :$cImprint: Palgrave Macmillan,$d2017. 215 $a1 online resource (XXXI, 728 p. 141 illus.) 311 08$a9783319525839 311 08$a3319525832 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-Carlosimulations 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 $aSocial sciences$xMathematics 606 $aCapital market 606 $aFinancial risk management 606 $aFinancial Engineering 606 $aMathematics in Business, Economics and Finance 606 $aCapital Markets 606 $aRisk Management 615 0$aFinancial engineering. 615 0$aSocial sciences$xMathematics. 615 0$aCapital market. 615 0$aFinancial risk management. 615 14$aFinancial Engineering. 615 24$aMathematics in Business, Economics and 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