Interest Rate Derivatives Explained: Volume 2 - Term Structure and Volatility Modelling (Paperback, Softcover reprint of the original 1st ed. 2017)

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.

General

Imprint:	Palgrave Macmillan
Country of origin:	United Kingdom
Series:	Financial Engineering Explained
Release date:	August 2018
First published:	2017
Authors:	Joerg Kienitz • Peter Caspers
Dimensions:	235 x 155mm (L x W)
Format:	Paperback
Pages:	248
Edition:	Softcover reprint of the original 1st ed. 2017
ISBN-13:	978-1-349-95378-3
Categories:	Books > Business & Economics > Finance & accounting > Finance > Banking Books > Business & Economics > Business & management > Management & management techniques > General Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Banking Books > Money & Finance > Investment & securities > General
LSN:	1-349-95378-4
Barcode:	9781349953783

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