| 書目名稱 | Interest Rate Derivatives Explained: Volume 2 |
| 副標題 | Term Structure and V |
| 編輯 | J?rg Kienitz,Peter Caspers |
| 視頻video | http://file.papertrans.cn/471/470898/470898.mp4 |
| 概述 | Reviews and analyses the Heston and the SABR model in detail.Considers derivatives and volatility modelling.Provides an overview of the numerical methods for successfully implementing the models.Inclu |
| 叢書名稱 | Financial Engineering Explained |
| 圖書封面 |  |
| 描述 | 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 conside |
| 出版日期 | Book 2017 |
| 關(guān)鍵詞 | Financial engineering; Derivatives; Finance; Risk Management; Banking; Capital market; Investments; Securit |
| 版次 | 1 |
| doi | https://doi.org/10.1057/978-1-137-36019-9 |
| isbn_softcover | 978-1-349-95378-3 |
| isbn_ebook | 978-1-137-36019-9 |
| copyright | The Editor(s) (if applicable) and The Author(s) 2017 |
|Archiver|手機版|小黑屋|
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