The Resource Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling, by Jörg Kienitz, Peter Caspers, (electronic resource)

Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling, by Jörg Kienitz, Peter Caspers, (electronic resource)

Label
Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling
Title
Interest Rate Derivatives Explained: Volume 2
Title remainder
Term Structure and Volatility Modelling
Statement of responsibility
by Jörg Kienitz, Peter Caspers
Creator
Contributor
Author
Author
Subject
Language
eng
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.
Member of
http://library.link/vocab/creatorName
Kienitz, Jörg
Dewey number
332.632044
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
  • i2WMdWEHGIA
  • 5gdmx_brrdM
Image bit depth
0
LC call number
HG176.7
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Caspers, Peter.
Series statement
Financial Engineering Explained
http://library.link/vocab/subjectName
  • Financial engineering
  • Capital market
  • Investment banking
  • Securities
  • Risk management
  • Banks and banking
  • Financial Engineering
  • Capital Markets
  • Investments and Securities
  • Risk Management
  • Banking
Label
Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling, by Jörg Kienitz, Peter Caspers, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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.-
Dimensions
unknown
Edition
1st ed. 2017.
Extent
1 online resource (XXVII, 248 p. 62 illus.)
File format
multiple file formats
Form of item
online
Isbn
9781137360199
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1057/978-1-137-36019-9
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000001040429
  • (DE-He213)978-1-137-36019-9
  • (MiAaPQ)EBC5143311
  • (EXLCZ)994100000001040429
Label
Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling, by Jörg Kienitz, Peter Caspers, (electronic resource)
Publication
Antecedent source
mixed
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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.-
Dimensions
unknown
Edition
1st ed. 2017.
Extent
1 online resource (XXVII, 248 p. 62 illus.)
File format
multiple file formats
Form of item
online
Isbn
9781137360199
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1057/978-1-137-36019-9
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)4100000001040429
  • (DE-He213)978-1-137-36019-9
  • (MiAaPQ)EBC5143311
  • (EXLCZ)994100000001040429

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