| 期刊全称 | Analytical Finance: Volume II | | 期刊简称 | The Mathematics of I | | 影响因子2023 | Jan R. M. Röman | | 视频video | | | 发行地址 | 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 cr | | 图书封面 |  | | 影响因子 | .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:.• 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 | | Pindex | Book 2017 |
The information of publication is updating
|
|
发表于 2025-3-21 16:15:22
