Interest Rate Derivatives Explained: Volume 2

Interest Rate Derivatives Explained: Volume 2

Autor
Jorg Kienitz Peter Caspers
Editura
Palgrave Macmillan
An publicare
2017
Nr. Pagini
248
ISBN
9781137360182
Categorii
In Limbi Străine
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Descriere

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.

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