Author: Christine BuddPublisher:
ISBN:
Category :
Languages : en
Pages : 264
Book Description
Volatility of the Term Structure of Interest Rates in the U.K. Market
Author: Christine BuddModeling the Term Structure of Interest Rates
Author: Rajna GibsonPublisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
UK Macroeconomic Volatility and the Term Structure of Interest Rates
Author: Peter D. SpencerEssays on the Volatility of the Term Structure of Interest Rates
Author: Miguel A. FerreiraStock Market Volatility and the Term Structure of Interest Rates
Author: Wooheon RheeThe Volatility of Short-term Interest Rates
Author: Clark LeavittPublisher:
ISBN:
Category : Accounting fraud
Languages : en
Pages : 418
Book Description
Interest Rate Derivatives Explained: Volume 2
Author: Jörg KienitzPublisher: Springer
ISBN: 1137360194
Category : Business & Economics
Languages : en
Pages : 261
Book Description
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.
Dynamics of the Term Structure of UK Interest Rates
Author: Francesco BianchiThe Stochastic Volatility of Short-term Interest Rates
Author: Clifford A. BallThe Term Structure of Interest Rates
Author: R. S. MaseraPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 232
Book Description