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 Mälardaran 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-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
