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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Financial Engineering Explained Jorg Kienitz Softcover reprint of the original 1st ed. 2017 edition
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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Financial Engineering Explained
Jorg Kienitz
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.
248 pages, 30 Tables, color; 62 Illustrations, black and white; XXVII, 248 p. 62 illus.
| Médias | Livres Paperback Book (Livre avec couverture souple et dos collé) |
| Validé | 30 août 2018 |
| ISBN13 | 9781349953783 |
| Éditeurs | Palgrave Macmillan |
| Pages | 248 |
| Dimensions | 150 × 220 × 10 mm · 394 g |
| Langue et grammaire | Anglais |
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