Titlebook: Interest Rate Derivatives Explained: Volume 2; Term Structure and V J?rg Kienitz,Peter Caspers Book 2017 The Editor(s) (if applicable) and

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Instantaneous Forward Rate Models and the Heath–Jarrow–Morton FrameworkThis chapter gives an overview of the general Heath–Jarrow–Morton framework, Heath et?al. (.), and some particular examples.

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The Libor Market ModelIn the preceding chapters we considered different term structure models, for instance, the Gaussian short rate models or models for the instantaneous forward rate.

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J?rg Kienitz,Peter CaspersReviews 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

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Structured Financever, these call rights are less standardized typically in structured finance, and other optionalities may be present that do not usually appear in structured bonds at all. In this chapter, we describe these specialities and give some valuation examples.

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