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Interest Rate Derivatives Explained: Volume 2
Term Structure And Volatility Modelling
language: english
Publisher:
Palgrave Macmillan, November of 2017 ‧
see product details
SYNOPSIS
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.
DETAILS
| Property | Description |
|---|---|
| ISBN: | 9781137360182 |
| Publisher: | Palgrave Macmillan |
| Release Date: | November of 2017 |
| Language: | English |
| Dimensions: | 156 x 234 x 20 mm |
| Cover: | Hardcover |
| Pages: | 248 |
| Format: | Book |
| Collection: | Financial Engineering Explained |
| Categories: |
Books in English
>
Economics, Finance and Accounting
>
Finances
Books in English > Management > Management and Organization Books in English > Others |
| EAN: | 9781137360182 |
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