PDF Download Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained)
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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained)
PDF Download Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained)
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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 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.Â
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Product details
Series: Financial Engineering Explained
Hardcover: 248 pages
Publisher: Palgrave Macmillan; 1st ed. 2017 edition (November 10, 2017)
Language: English
ISBN-10: 1137360186
ISBN-13: 978-1137360182
Product Dimensions:
6.7 x 0.8 x 9.7 inches
Shipping Weight: 1.3 pounds (View shipping rates and policies)
Average Customer Review:
2.0 out of 5 stars
1 customer review
Amazon Best Sellers Rank:
#2,615,282 in Books (See Top 100 in Books)
Volume 2 (this book) unfortunately is a bit sparse in information, making it much less useful compared to volume 1 Volume, which was quite good (just enough detail and depth to be useful).
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