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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling

-15% su kodu: ENG15
65,62 
Įprasta kaina: 77,20 
-15% su kodu: ENG15
Kupono kodas: ENG15
Akcija baigiasi: 2025-03-03
-15% su kodu: ENG15
65,62 
Įprasta kaina: 77,20 
-15% su kodu: ENG15
Kupono kodas: ENG15
Akcija baigiasi: 2025-03-03
-15% su kodu: ENG15
2025-02-28 77.2000 InStock
Nemokamas pristatymas į paštomatus per 11-15 darbo dienų užsakymams nuo 10,00 

Knygos aprašymas

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 bya 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.
 

Informacija

Autorius: Peter Caspers, Jörg Kienitz,
Serija: Financial Engineering Explained
Leidėjas: Palgrave Macmillan UK
Išleidimo metai: 2018
Knygos puslapių skaičius: 276
ISBN-10: 1349953784
ISBN-13: 9781349953783
Formatas: 235 x 155 x 16 mm. Knyga minkštu viršeliu
Kalba: Anglų

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