Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Financial Engineering Explained - Jorg Kienitz - Books - Palgrave Macmillan - 9781349953783 - August 30, 2018
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Jorg Kienitz
Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Financial Engineering Explained Softcover reprint of the original 1st ed. 2017 edition

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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.

248 pages, 30 Tables, color; 62 Illustrations, black and white; XXVII, 248 p. 62 illus.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released August 30, 2018
ISBN13 9781349953783
Publishers Palgrave Macmillan
Pages 248
Dimensions 150 × 220 × 10 mm   ·   394 g
Language English  

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