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Interest rate derivatives explained. Volume 2, Term structure and volatility modelling

Author: Jörg Kienitz; Peter Caspers
Publisher: [London] : Palgrave Macmillan UK, 2017.
Series: Financial engineering explained.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Kienitz, Jörg.
Interest Rate Derivatives Explained: Volume 2.
London : Palgrave Macmillan UK, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jörg Kienitz; Peter Caspers
ISBN: 9781137360199 1137360194
OCLC Number: 1012343100
Description: 1 online resource.
Contents: Chapter1 Goals of this Book and Global Overview --
Chapter2 Vanilla Bonds and Asset Swaps --
Chapter3 Callable (and Puttable) Bonds --
Chapter4 Structured Finance --
Chapter5 More Exotic Features --
Chapter6 Basis Hedging --
Chapter7 Exposures --
Chapter8 The Heston Model --
Chapter9 The SABR Model --
Chapter10 Term Structure Models --
Chapter11 Short Rate Models --
Chapter12 A Gaussian Rates-Credit pricing Framework --
Chapter13 Instantaneous Forward Rate Models --
Chapter14 The Libor Market Model --
Chapter15 Numerical Techniques.-
Series Title: Financial engineering explained.
Other Titles: Term structure and volatility modelling
Responsibility: Jörg Kienitz, Peter Caspers.

Abstract:

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.  Read more...

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