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Interest Rate Derivatives Explained: Volume 2 - Joerg Kienitz - Bog

- Term Structure and Volatility Modelling

Bag om Interest Rate Derivatives Explained: Volume 2

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781349953783
  • Indbinding:
  • Paperback
  • Sideantal:
  • 248
  • Udgivet:
  • 30. august 2018
  • Udgave:
  • 12017
  • Størrelse:
  • 155x235x0 mm.
  • Vægt:
  • 454 g.
  • 8-11 hverdage.
  • 22. januar 2025
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Beskrivelse af Interest Rate Derivatives Explained: Volume 2

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.

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