Interest rate derivatives explained: volume 2: term structure and volatility modelling
Auteur :
Kienitz, Jörg / Caspers, Peter
Éditeur :
Palgrave Macmillan
ISBN :
9781349953783
Date de publication :
30 août 2018
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.