Interest rate derivatives explained
Subtitle: Term structure and volatility modelling
By: Jörg Kienitz, Peter Caspers
Contributors: Caspers, Peter, author
Series: Financial engineering explained; Financial engineering explained
Publisher: Palgrave Macmillan; Springer
Published: 2017
Language: eng
Number of pages: 248
ISBN-13: 9781137360182
Subjects: Interest rates; Banks and banking; Derivative securities
Other titles: Term structure and volatility modelling
Description: "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."--Jacket flap.
Notes: Includes bibliographical references (pages 243-244) and index.