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Title
Interest rate derivatives explained. Volume 2, Term structure and volatility modelling / Jörg Kienitz, Peter Caspers.
ISBN
9781137360199 (electronic book)
1137360194 (electronic book)
1137360186
9781137360182
Published
[London] : Palgrave Macmillan UK, 2017.
Language
English
Description
1 online resource.
Other Standard Identifiers
10.1057/978-1-137-36019-9 doi
Call Number
HG4650
Dewey Decimal Classification
332.63/2044
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.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Digital File Characteristics
text file PDF
Source of Description
Description based on print version record.
Series
Financial engineering explained.
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.
