Interest Rate Derivatives Explained Volume 2 is popular PDF and ePub book, written by Jörg Kienitz in 2017-11-08, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Interest Rate Derivatives Explained Volume 2 can be Read Online from any device for your convenience.
Interest Rate Derivatives Explained Volume 2 Book PDF 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 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.
Detail Book of Interest Rate Derivatives Explained Volume 2 PDF
- Author : Jörg Kienitz
- Release : 08 November 2017
- Publisher : Springer
- ISBN : 9781137360199
- Genre : Business & Economics
- Total Page : 261 pages
- Language : English
- PDF File Size : 8,5 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Interest Rate Derivatives Explained Volume 2 by Jörg Kienitz, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.