Beschreibung Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained, Band 2). 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.
Interest Rate Derivatives Explained: Volume 2: Term ~ Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling (Financial Engineering Explained) / Kienitz, Jörg, Caspers, Peter / ISBN: 9781137360182 / Kostenloser Versand für alle Bücher mit Versand und Verkauf duch .
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Derivative Definition - Investopedia ~ Interest rate derivatives are most often used to hedge against interest rate risk. Interest rate risk can occur when a change in interest rates causes the value of the underlying asset's price to .
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The Volatility Surface Explained - investopedia ~ The Volatility Surface . Of all the variables used in the Black-Scholes model, the only one that is not known with certainty is volatility. At the time of pricing, all of the other variables are .
CHAPTER 5 OPTION PRICING THEORY AND MODELS ~ The binomial option pricing model is based upon a simple formulation for the asset price process in which the asset, in any time period, can move to one of two possible prices. The general formulation of a stock price process that follows the binomial is shown in figure 5.3. Figure 5.3: General Formulation for Binomial Price Path S Su Sd Su 2 .
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Interest rate derivative - Wikipedia ~ In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of different interest rate indices that can be used in this definition.. IRDs are popular with all financial market participants given the need for almost .
Volatility Indexes www.cboe/Volatility ~ Cboe's volatility indexes are key measures of market expectations of volatility conveyed by option prices. The indexes measure the market's expectation of volatility implicit in the prices of options. The indexes are quoted in percentage points, just like the standard deviation of a rate of return, e.g. 19.36. Cboe disseminates the index values .
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Swaption - Wikipedia ~ Types of swaptions. There are two types of swaption contracts (analogous to put and call options): A payer swaption gives the owner of the swaption the right to enter into a swap where they pay the fixed leg and receive the floating leg.; A receiver swaption gives the owner of the swaption the right to enter into a swap in which they will receive the fixed leg, and pay the floating leg.
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