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Verlag: Palgrave Macmillan UK, 2014
ISBN 10: 1137360062ISBN 13: 9781137360069
Anbieter: moluna, Greven, Deutschland
Buch
Zustand: New. Based on strong empirical evidence this book provides an explanation of actual Market Data (including new setting for quotation, negative rates, etc.) Explores new multi-curve set-up and provides a detailed outline of the new multi-curve se.
Verlag: Palgrave Macmillan UK, 2017
ISBN 10: 1137360186ISBN 13: 9781137360182
Anbieter: moluna, Greven, Deutschland
Buch
Zustand: New. 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 joini.
Verlag: Palgrave Macmillan Nov 2017, 2017
ISBN 10: 1137360186ISBN 13: 9781137360182
Anbieter: AHA-BUCH GmbH, Einbeck, Deutschland
Buch
Buch. Zustand: Neu. Neuware - 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 bya 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.
Verlag: Palgrave Macmillan, 2017
ISBN 10: 1137360186ISBN 13: 9781137360182
Anbieter: Monster Bookshop, Fleckney, Vereinigtes Königreich
Buch
Hardcover. Zustand: New. BRAND NEW ** SUPER FAST SHIPPING FROM UK WAREHOUSE ** 30 DAY MONEY BACK GUARANTEE.