Buch, Englisch, 728 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 11285 g
The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation
Buch, Englisch, 728 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 11285 g
ISBN: 978-3-319-52583-9
Verlag: Springer International Publishing
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-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
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
- Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
Weitere Infos & Material
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