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Interest Rate Derivatives Explained: Volume 2 eBook

Term Structure And Volatility Modelling

by Peter Caspers e Jorg Kienitz
language: english
Publisher: Palgrave Macmillan UK, November of 2017 ‧
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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.

Interest Rate Derivatives Explained: Volume 2

Term Structure And Volatility Modelling

by Peter Caspers e Jorg Kienitz

Property Description
ISBN: 9781137360199
Publisher: Palgrave Macmillan UK
Release Date: November of 2017
Language: English
Format: eBook
File Format and Compatibility:
Collection: Financial Engineering Explained
Categories: eBooks in English > Management > Management and Organization
EAN: 9781137360199
Acessibilidade: Ver características de acessibilidade indicadas pelo editor

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