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000827519 019__ $$a1011519671$$a1017841416$$a1017931681$$a1018399047$$a1032278000
000827519 020__ $$a9781137360199$$q(electronic book)
000827519 020__ $$a1137360194$$q(electronic book)
000827519 020__ $$z1137360186
000827519 020__ $$z9781137360182
000827519 0247_ $$a10.1057/978-1-137-36019-9$$2doi
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000827519 049__ $$aISEA
000827519 050_4 $$aHG4650
000827519 08204 $$a332.63/2044$$223
000827519 1001_ $$aKienitz, Jörg,$$eauthor.
000827519 24510 $$aInterest rate derivatives explained.$$nVolume 2,$$pTerm structure and volatility modelling /$$cJörg Kienitz, Peter Caspers.
000827519 24630 $$aTerm structure and volatility modelling
000827519 264_1 $$a[London] :$$bPalgrave Macmillan UK,$$c2017.
000827519 300__ $$a1 online resource.
000827519 336__ $$atext$$btxt$$2rdacontent
000827519 337__ $$acomputer$$bc$$2rdamedia
000827519 338__ $$aonline resource$$bcr$$2rdacarrier
000827519 347__ $$atext file$$bPDF$$2rda
000827519 4901_ $$aFinancial engineering explained
000827519 504__ $$aIncludes bibliographical references and index.
000827519 5050_ $$aChapter1 Goals of this Book and Global Overview -- Chapter2 Vanilla Bonds and Asset Swaps -- Chapter3 Callable (and Puttable) Bonds -- Chapter4 Structured Finance -- Chapter5 More Exotic Features -- Chapter6 Basis Hedging -- Chapter7 Exposures -- Chapter8 The Heston Model -- Chapter9 The SABR Model -- Chapter10 Term Structure Models -- Chapter11 Short Rate Models -- Chapter12 A Gaussian Rates-Credit pricing Framework -- Chapter13 Instantaneous Forward Rate Models -- Chapter14 The Libor Market Model -- Chapter15 Numerical Techniques.
000827519 506__ $$aAccess limited to authorized users.
000827519 520__ $$aThis book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.
000827519 588__ $$aDescription based on print version record.
000827519 650_0 $$aDerivative securities.
000827519 650_0 $$aInterest rates.
000827519 7001_ $$aCaspers, Peter,$$eauthor.
000827519 77608 $$iPrint version:$$aKienitz, Jörg.$$tInterest Rate Derivatives Explained: Volume 2.$$dLondon : Palgrave Macmillan UK, ©2017$$z9781137360182
000827519 830_0 $$aFinancial engineering explained.
000827519 852__ $$bebk
000827519 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1057/978-1-137-36019-9$$zOnline Access$$91397441.1
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000827519 980__ $$aEBOOK
000827519 980__ $$aBIB
000827519 982__ $$aEbook
000827519 983__ $$aOnline
000827519 994__ $$a92$$bISE