Interest Rate Derivatives Explained Volume 2
Download Interest Rate Derivatives Explained Volume 2 full books in PDF, epub, and Kindle. Read online free Interest Rate Derivatives Explained Volume 2 ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Interest Rate Derivatives Explained: Volume 2
Author | : Jörg Kienitz |
Publisher | : Springer |
Total Pages | : 261 |
Release | : 2017-11-08 |
Genre | : Business & Economics |
ISBN | : 1137360194 |
Download Interest Rate Derivatives Explained: Volume 2 Book in PDF, Epub and Kindle
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.
Interest Rate Derivatives Explained: Volume 2 Related Books
Pages: 261
Pages: 264
Pages: 207
Pages: 623
Pages: 276