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Interest rate derivatives explained

Interest rate derivatives explained
Volume 2: term structure and volatility modelling

  • ISBN: 9781137360182
  • Editorial: Palgrave MacMillan
  • Lugar de la edición: London. Reino Unido
  • Encuadernación: Cartoné
  • Medidas: 23 cm
  • Nº Pág.: 247
  • Idiomas: Inglés

Papel: Cartoné
43,95 €
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Resumen

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.

Vanilla Bonds and Asset Swaps
Callability Features
Structured Finance
More Exotic Features and Basis Risk Hedging
Exposures
The Heston Model
The SABR Model
Term Structure Models
Short Rate Models
A Gaussian Rates-Credit Pricing Framework
Instantaneous Forward Rate Models and the Heath–Jarrow–Morton Framework
The Libor Market Model

Resumen

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