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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling
Jorg Kienitz
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Description for Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling
Hardback. .
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 ... Read more
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 ... Read more
Product Details
Publisher
Palgrave Macmillan
Format
Hardback
Publication date
2017
Series
Financial Engineering Explained
Condition
New
Number of Pages
248
Place of Publication
Basingstoke, United Kingdom
ISBN
9781137360182
SKU
V9781137360182
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-1
About Jorg Kienitz
Joerg Kienitz is Partner at Quaternion Risk Management where he is responsible for business development, pricing models research and risk management consulting. Prior to this he was a Director at Deloitte and Co-lead of the quant team. Before joining Deloitte he was Head of Quantitative Analytics at Deutsche Postbank AG where he was involved in developing/implementing models for pricing, hedging ... Read more
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