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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.
This is a heart-warming story of a young boy, Edmund, who tries to grow up too soon by signing up to fight for the Confederacy during the Civil War. His bother, Johnny Ray, was killed by a Yankee, and now Edmund believes he must avenge his brother's death. Soon after joining the army, he finds himself in battle and realizes that it is much more involved than out hunting in the woods and fields with his dogs. Come along and follow this home-loving story of Edmund, and find out if he survives this savage war between the North and the South.
Jessee, a young girl going into middle school, lives in Northwest Oklahoma with her dad. She has two major plans for her summer. One, she wants to sleep late at home while her dad works on the Earl's farm. Two, she wants to have an archeological dig with Buford Earl, also going into middle school. Jessee's mom died, and this makes her dad a bit over-protective. He requires her to get up early and go to the farm with him. He refuses to allow her to stay home alone. Buford's dad plans on him working on the farm during the summer, not going on a dig with Jessee. Jessee and Buford are convinced that summer is for sleeping late and having fun. Now, they just have to get their parents to believe that too.
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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