Interest rate derivatives explained. Volume 2, Term structure and volatility modelling / Jörg Kienitz, Peter Caspers.
By: Kienitz, Joerg [author.].
Contributor(s): Caspers, Peter [author.].
Series: Financial engineering explained: Publisher: London : Palgrave Macmillan, [2017]Description: xxvii, 248 pages : illustrations ; 24 cm.Content type: text Media type: unmediated Carrier type: volumeISBN: 9781137360182.Other title: Term structure and volatility modelling.Subject(s): Derivative securities | Interest rates | Banks and bankingGenre/Form: Print books.Summary: "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."--Jacket flap.| Current location | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|
| On Shelf | HG6024.A3 K53 2017 (Browse shelf) | Available | AU00000000012013 |
Total holds: 0
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| HG5993 .K37 2015 Cracking the emerging markets enigma / | HG6005 .S34 2014 Speculation, trading, and bubbles / | HG6015 .A35 2018 The time of money / | HG6024.A3 K53 2017 Interest rate derivatives explained. | HG6024.A3 P535 2017 Derivatives / | HG6024.A3 T34 2014 Tail Risk Hedging : Theory and Practice | HG6024.A3 T4756 2013 Options for risk-free portfolios : profiting with dividend collar strategies / |
Includes bibliographical references (pages 243-244) and index.
"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."--Jacket flap.