Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling

Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling Kienitz Joerg ,Caspers Peter Wydawca: Palgrave Macmillan Data wydania: 2017 ISBN: 9781137360182 Liczba stron: 248 Format: 167 x 245 x 23 Rodzaj oprawy: Hardback Opis produktu: 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. We consider three main classes namely short rate models, instantaneous forward rate models and market models.