Interest Rate Derivatives Explained: Volume 2
Jorg Kienitz, Peter Caspers
Palgrave Macmillan, 2017
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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.
- ISBN-13
- 9781137360182
- ISBN-10
- 1137360186
- Publisher
- Palgrave Macmillan
- Year
- 2017
- Publication date
- 2017-11-24
- Pages
- 248
- Dimensions
- 167x245x23
- Weight
- 588