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Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling / by Jörg Kienitz, Peter Caspers
(Financial Engineering Explained)

Publisher	(London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan)
Year	2017
Edition	1st ed. 2017.
Authors	*Kienitz, Jörg author Caspers, Peter author SpringerLink (Online service)

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Links to the text	Location	Volume	Call No.	Barcode No.	Status	Comments	ISBN	Printed	Restriction	Reserve
Links to the text	Library Off-campus access			OB00175413		Springer Economics and Finance eBooks (電子ブック)	9781137360199

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Material Type	E-Book
Media type	機械可読データファイル
Size	XXVII, 248 p. 62 illus : online resource
Notes	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.- 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. HTTP:URL=https://doi.org/10.1057/978-1-137-36019-9
Subjects	LCSH:Financial engineering LCSH:Capital market LCSH:Financial services industry LCSH:Financial risk management FREE:Financial Engineering FREE:Capital Markets FREE:Financial Services FREE:Risk Management
Classification	LCC:HG176.7 DC23:332 DC23:658.15
ID	8000059874
ISBN	9781137360199