Problems and Solutions in Mathematical Finance: Interest Rates and Inflation Indexed Derivatives

1. Auflage 2022
ISBN: 978-1-119-96581-7
Verlag: WILEY

Buch, Englisch, 416 Seiten, Format (B × H): 170 mm x 244 mm

Reihe: Wiley Finance

Your complete guide to mastering basic and advanced techniques for interest rate derivative modeling and pricing

Interest rate trading constitutes the largest sector of the world derivatives market. Interest rate contracts are a much valued risk management tool used by the majority of the world's largest companies. But interest rate derivative modeling and pricing are extremely challenging tasks, requiring a thorough knowledge and practical expertise in advanced discrete and continuous mathematical modeling methods-practical knowledge which can only be gained through extensive problem solving and the application of contemporary interest rate tools and models to an array of market scenarios. Authored by a distinguished team of quantitative analysts with extensive experience in the field, this second volume in the landmark Problems and Solutions in Mathematical Finance offers you a quick, painless way to acquire that knowledge and expertise.
* The only book offering a problems-and-solutions approach to teaching interest rate and inflation index derivatives modelling
* Walks you step-by-step through the theoretical aspects of interest rate and inflation indexed derivatives as well as broad range real-world problems
* Extremely practical, it bridges the gap between mathematical theory and the everyday reality of the financial markets
* An ideal text for quantitative finance students and an essential go-to resource for busy practitioners looking to refresh their knowledge and enhance their practical expertise

Autoren/Hrsg.

Chin, Eric

Lafsson, Sverrir

Nel, Dian

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Über Autor(innen)

Dr. Eric Chin (London, UK) is a quantitative analyst at Standard Chartered Bank where he is involved in providing guidance on price testing methodologies and their implementation, formulating model calibration and model appropriateness across all asset classes.

Dian Nel (London, UK) is a quantitative analyst currently working for Norwegian Energy and has many years experience in energy markets where his main interests include exotic options, portfolio optimisation and hedging in incomplete markets.

Dr. Sverrir Olafsson (Reykjavik, Iceland) is a professor in the School of Business at the University of Reykjavik, Iceland and a visiting professor in the Department of Electrical Engineering and Computer Science at Queen Mary University of London. He is also the director of Riskcon Ltd a UK based consultancy on risk management.