Interest Rate Derivatives Explained: Volume 2: Term Structure And Volatility Modelling

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.

• | By (Author): Joerg Kienitz
• | Publisher: Palgrave Macmillan
• | Publication Date: Nov 24, 2017
• | Country of Publication: United Kingdom
• | Number of Pages: 248 pages
• | Language: Unknown
• | Binding: Hardback
• | ISBN-10: 1137360186
• | ISBN-13: 9781137360182