Interest rate derivatives explained. Term structure and volatility modelling / Volume 2, (2017)

• Record Type: Book
• Other Titles: Term structure and volatility modelling
• Further Information: Note: Jorg Kienitz, Peter Caspers.
• Authors: Kienitz, Joerg; Caspers, Peter
• Contents: Chapter1 Goals of this Book and Global Overview.- Chapter2 Vanilla Bonds and Asset Swaps.- Chapter3 Callable (and Puttable) Bonds.- Chapter4 Structured Finance.- Chapter5 More Exotic Features.- Chapter6 Basis Hedging.- Chapter7 Exposures.- Chapter8 The Heston Model.- Chapter9 The SABR Model.- Chapter10 Term Structure Models.- Chapter11 Short Rate Models.- Chapter12 A Gaussian Rates-Credit pricing Framework.- Chapter13 Instantaneous Forward Rate Models.- Chapter14 The Libor Market Model.- Chapter15 Numerical Techniques.
• Publisher Details: Basingstoke, Hampshire : Palgrave Macmillan
• Publication Date: 2017
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.632044; Fixed-income securities; Fixed-income securities -- Mathematical models
• Languages: English
• ISBNs: 9781137360199
• Related ISBNs: 9781137360182
• Notes: Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.