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Interest Rate Derivatives Explained: Volume 2

Term Structure And Volatility Modelling

by Peter Caspers e Jorg Kienitz
language: english
Publisher: Palgrave Macmillan, August of 2018 ‧
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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: 9781349953783
Publisher: Palgrave Macmillan
Release Date: August of 2018
Language: English
Dimensions: 155 x 235 x 20 mm
Cover: Softcover
Pages: 248
Format: Book
Collection: Financial Engineering Explained
Categories: Books in English > Economics, Finance and Accounting > Finances
Books in English > Management > Management and Organization
EAN: 9781349953783