Analytical Finance: Volume II

The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
1. Auflage 2017
ISBN: 978-3-319-52583-9
Verlag: Springer International Publishing

Buch, Englisch, 728 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 11285 g

Provides a comprehensive introduction to financial instruments in the interest rate marketsIncludes coverage of standard and exotic instruments
Explains how pricing has changed since the financial crisis

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Röman, Jan R. M.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

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-Kac.- 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.

Über Autor(innen)

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.