Interest Rate Derivatives Explained: Volume 2

Term Structure and Volatility Modelling

Business & Finance, Finance & Investing, Finance, Investments & Securities
Cover of the book Interest Rate Derivatives Explained: Volume 2 by Jörg Kienitz, Peter Caspers, Palgrave Macmillan UK
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jörg Kienitz, Peter Caspers ISBN: 9781137360199
Publisher: Palgrave Macmillan UK Publication: November 8, 2017
Imprint: Palgrave Macmillan Language: English
Author: Jörg Kienitz, Peter Caspers
ISBN: 9781137360199
Publisher: Palgrave Macmillan UK
Publication: November 8, 2017
Imprint: Palgrave Macmillan
Language: English

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.

 

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

 

More books from Palgrave Macmillan UK

Cover of the book Polish vs. American Courtroom Discourse by Jörg Kienitz, Peter Caspers
Cover of the book Men of Feeling in Eighteenth-Century Literature by Jörg Kienitz, Peter Caspers
Cover of the book Staging and Performing Translation by Jörg Kienitz, Peter Caspers
Cover of the book Dangerous and Dishonest Men: The International Bankers of Louis XIV's France by Jörg Kienitz, Peter Caspers
Cover of the book Quality and Legitimacy of Global Governance by Jörg Kienitz, Peter Caspers
Cover of the book Forces for Good? by Jörg Kienitz, Peter Caspers
Cover of the book Comparative Civil Service Systems in the 21st Century by Jörg Kienitz, Peter Caspers
Cover of the book Staging Trauma by Jörg Kienitz, Peter Caspers
Cover of the book Film, Art, New Media: Museum Without Walls? by Jörg Kienitz, Peter Caspers
Cover of the book New Perspectives on Desistance by Jörg Kienitz, Peter Caspers
Cover of the book Sharing Profits by Jörg Kienitz, Peter Caspers
Cover of the book Corruption by Jörg Kienitz, Peter Caspers
Cover of the book Europe, Nations and Modernity by Jörg Kienitz, Peter Caspers
Cover of the book Social Invisibility and Diasporas in Anglophone Literature and Culture by Jörg Kienitz, Peter Caspers
Cover of the book Sympathy and India in British Literature, 1770-1830 by Jörg Kienitz, Peter Caspers
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy