Interest Rate Derivatives Explained: Volume 2

Name: Interest Rate Derivatives Explained: Volume 2
Brand: Palgrave Macmillan
SKU: 9781137360182
Price: 50.13 EUR
Availability: InStock

Term Structure and Volatility Modelling

Autor: Jörg Kienitz, Peter Caspers

Jazyk:

Väzba: Pevná

Vydavateľ: Palgrave Macmillan

Dostupnosť: 50 % šanca

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This book on Interest Rate Derivatives has three parts. The first part is on financial products and...

Informácie o knihe

Autor

Jörg Kienitz, Peter Caspers

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2017

Stránok

248

EAN

9781137360182

ISBN

1137360186

Enbook ID

15460918

Vydavateľ

Palgrave Macmillan

Hmotnosť

588

Rozmery

245 x 167 x 23

Kompletný popis

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.

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Interest Rate Derivatives Explained: Volume 2

Term Structure and Volatility Modelling

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