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