- Trading books are a form of accounting ledger that contains records of all tradeable financial assets of a bank.
- Trading books are subject to gains and losses that affect the financial institution directly.
- Losses in a bank’s trading book can have a cascading effect on the global economy, such as those that occurred during the 2008 financial crisis.
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Review: “This one adopts the mathematics text style of approach…But, it is not a dry book…The book is deep and detailed…” ( Short Book Reviews, Vol. 20, No. 3, December 2000)
“…It sets a new high standard for future texts on mathematical finance…” (The Statistician, Vol.51, No.2, 2002)
Synopsis: This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors? combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.
- detailed coverage of interest rate derivatives, from ?vanilla? instruments through to many of the more exotic products currently being traded
- pricing models for constant maturity swaps and other convexity products
- accessible yet rigorous treatment of the stochastic calculus required for option pricing
- overview of popular term structure models along with their relationships to each other (including Heath?Jarrow?Morton, short rate models and the latest market models)
- explanation of numeraires as a modelling and pricing tool
- models and efficient algorithms for path?dependent and Bermudan swaptions
- insights into how to go about pricing products beyond those treated in the text
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Get: P.J.Hunt – Financial Derivates in Theory & Practice