Interest Rate Derivatives Explained: Volume 2

Name: Interest Rate Derivatives Explained: Volume 2
Brand: Palgrave Macmillan
SKU: 9781137360182
Price: 212.9 PLN
Availability: InStock

Term Structure and Volatility Modelling

Autor: Jörg Kienitz, Peter Caspers

Język:

Oprawa: Twarda

Wydawca: Palgrave Macmillan

Dostępność: 50 % szansa

Przeszukamy cały świat

212.90 zł

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

Informacje o książce

Autor

Jörg Kienitz, Peter Caspers

Język

Angielski

Oprawa

Książka - Twarda

Data wydania

2017

strony

248

EAN

9781137360182

ISBN

1137360186

Enbook ID

15460918

Wydawca

Palgrave Macmillan

Waga

588

Wymiary

245 x 167 x 23

Pełny opis

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.

Możesz być zainteresowany

Klienci, którzy kupili tę książkę, kupili również

Najczęściej wyszukiwane

Categories

Authors

Publishers

Produkty

Produkty

Najczęściej wyszukiwane

Categories

Authors

Publishers

Produkty

Produkty

Interest Rate Derivatives Explained: Volume 2

Term Structure and Volatility Modelling

Informacje o książce

Pełny opis

Możesz być zainteresowany

Klienci, którzy kupili tę książkę, kupili również