Interest Rate Derivatives Explained: Volume 2
eBook - PDF

Interest Rate Derivatives Explained: Volume 2

Term Structure and Volatility Modelling

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

Interest Rate Derivatives Explained: Volume 2

Term Structure and Volatility Modelling

About this book

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 by a 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.
 

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Yes, you can access Interest Rate Derivatives Explained: Volume 2 by Jörg Kienitz,Peter Caspers in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Palgrave Macmillan
Year
2017
Print ISBN
9781137360182
eBook ISBN
9781137360199
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Contents
  2. List of Figures
  3. List of Tables
  4. Goals of this Book and Global Overview
  5. Products
  6. 1 Vanilla Bonds and Asset Swaps
  7. 2 Callability Features
  8. 3 Structured Finance
  9. 4 More Exotic Features and Basis Risk Hedging
  10. 5 Exposures
  11. Volatility
  12. 6 The Heston Model
  13. 7 The SABR Model
  14. Term Structure Models
  15. 8 Term Structure Models
  16. 9 Short Rate Models
  17. 10 A Gaussian Rates-Credit Pricing Framework
  18. 11 Instantaneous Forward Rate Models and the Heath--Jarrow--Morton Framework
  19. 12 The Libor Market Model
  20. A Numerical Techniques for Pricing and Exposure Modelling
  21. A.1 Numerical Integration
  22. A.1.1 Greeks
  23. A.2 Fourier Transformation
  24. A.2.1 Greeks
  25. A.3 Finite Difference Techniques
  26. A.3.1 Finite Differences
  27. A.3.2 Finite Difference Schemes
  28. A.3.2.1 Inner Scheme
  29. A.3.2.2 Boundary Conditions
  30. A.3.3 Consistency/Stability/Convergence
  31. A.3.4 Solving for the Density
  32. A.3.5 Solving for the Price
  33. A.4 Monte Carlo Simulation
  34. A.4.1 Random Numbers
  35. A.4.1.1 Uniformly Distributed Randoms
  36. A.4.1.2 Multiple Dimensions
  37. A.4.1.3 Transforming to a Given Distribution
  38. A.4.1.4 Multiple Dimensions
  39. A.4.1.5 The Cholesky Decomposition
  40. A.4.2 Path Simulation
  41. A.4.2.1 The Exact Scheme
  42. A.4.2.2 The Euler Scheme
  43. A.4.2.3 The Predictor-Corrector Scheme
  44. A.4.2.4 The Milstein Scheme
  45. A.4.3 Averaging and Error Analysis
  46. A.4.4 Special Purpose Schemes
  47. A.5 The Longstaff-Schwartz Method
  48. A.6 Further Considerations
  49. References
  50. Index