Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained)

Amazon.com Price: $48.87 (as of 11/10/2019 06:21 PST- Details)

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This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products thought to be in Interest Rate Derivatives Explained I. In particular we imagine callable products such as Bermudan swaptions or exotic derivatives. The second one 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 important 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 within the third part. We imagine three main classes namely short rate models, instantaneous forward rate models and market models. For every class we review one representative which is heavily used in practice. We now have chosen the Hull-White, the Cheyette and the Libor Market model. For the entire models we imagine the extensions by a stochastic basis and stochastic volatility component. In any case, we round up the exposition by giving an overview of the numerical methods which can be relevant for successfully implementing the models thought to be within the book.

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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained)

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