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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Financial Engineering Explained Jorg Kienitz 1st ed. 2017 edition
Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Financial Engineering Explained
Jorg Kienitz
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.
| メディア | 書籍 Hardcover Book (ハードカバー付きの本) |
| リリース済み | 2017年11月24日 |
| ISBN13 | 9781137360182 |
| 出版社 | Palgrave Macmillan |
| ページ数 | 248 |
| 寸法 | 245 × 167 × 23 mm · 588 g |
| 言語 | 英語 |
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