Authors:
- Provides a comprehensive introduction to financial instruments in the interest rate markets
- Includes coverage of standard and exotic instruments
- Explains how pricing has changed since the financial crisis
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Table of contents (26 chapters)
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Front Matter
About this book
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:
• 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
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
Authors and Affiliations
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Västerås, Sweden
Jan R. M. Röman
About the author
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.
Bibliographic Information
Book Title: Analytical Finance: Volume II
Book Subtitle: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Authors: Jan R. M. Röman
DOI: https://doi.org/10.1007/978-3-319-52584-6
Publisher: Palgrave Macmillan Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2017
Softcover ISBN: 978-3-319-52583-9Published: 13 December 2017
eBook ISBN: 978-3-319-52584-6Published: 30 November 2017
Edition Number: 1
Number of Pages: XXXI, 728
Number of Illustrations: 141 b/w illustrations
Topics: Financial Engineering, Quantitative Finance, Capital Markets, Risk Management