Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling (1137360186)

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. 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. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.

Product details

• Format Hardback | 248 pages
• Dimensions 155 x 235 x 21.34mm | 537g
• Publication date 08 Dec 2017
• Publisher Palgrave MacMillan
• Publication City/Country Basingstoke, United Kingdom
• Language English
• Edition Statement 1st ed. 2017
• Illustrations note 30 Tables, color; 62 Illustrations, black and white; XXVII, 248 p. 62 illus.
• ISBN10 1137360186
• ISBN13 9781137360182
• Bestsellers rank 2,287,609

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