Interest Rate Derivatives Explained Volume 2

Author : Jörg Kienitz,Peter Caspers
Publisher : Springer
Page : 248 pages
File Size : 50,5 Mb
Release : 2017-11-08
Category : Business & Economics
ISBN : 9781137360199

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Interest Rate Derivatives Explained: Volume 2 by Jörg Kienitz,Peter Caspers Pdf

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.

Author : Joerg Kienitz
Publisher : Unknown
Page : 207 pages
File Size : 43,8 Mb
Release : 2014
Category : Fixed-income securities
ISBN : 1137327332

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Interest Rate Derivatives Explained by Joerg Kienitz Pdf

Author : J. Kienitz
Publisher : Springer
Page : 207 pages
File Size : 54,8 Mb
Release : 2014-12-05
Category : Business & Economics
ISBN : 9781137360076

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Interest Rate Derivatives Explained by J. Kienitz Pdf

Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.

Author : J. Kienitz
Publisher : Springer
Page : 207 pages
File Size : 40,9 Mb
Release : 2014-12-05
Category : Business & Economics
ISBN : 9781137360076

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Interest Rate Derivatives Explained by J. Kienitz Pdf

Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.

Author : Leif B. G. Andersen,Vladimir V. Piterbarg
Publisher : Unknown
Page : 1154 pages
File Size : 47,7 Mb
Release : 2010
Category : Business & Economics
ISBN : 0984422110

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Interest Rate Modeling: Term structure models: One-factor short rate models I ; One-factor short rate models II ; Multi-factor short rate models ; The quasi-Gaussian model ; The Libor market model I ; The Libor market model II by Leif B. G. Andersen,Vladimir V. Piterbarg Pdf

"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

Author : Antoon Pelsser
Publisher : Springer Science & Business Media
Page : 177 pages
File Size : 48,6 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9781447138884

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Efficient Methods for Valuing Interest Rate Derivatives by Antoon Pelsser Pdf

This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.

Author : R. Venkata Subramani
Publisher : John Wiley & Sons
Page : 744 pages
File Size : 52,8 Mb
Release : 2011-07-07
Category : Business & Economics
ISBN : 9780470829059

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Accounting for Investments, Volume 2 by R. Venkata Subramani Pdf

A comprehensive guide to new and existing accounting practices for fixed income securities and interest rate derivatives The financial crisis forced accounting standard setters and market regulators around the globe to come up with new proposals for modifying existing practices for investment accounting. Accounting for Investments, Volume 2: Fixed Income and Interest Rate Derivatives covers these revised standards, as well as those not yet implemented, in detail. Beginning with an overview of the financial products affected by these changes—defining each product, the way it is structured, its advantages and disadvantages, and the different events in the trade life cycle—the book then examines the information that anyone, person or institution, holding fixed income security and interest rate investments must record. Offers a comprehensive overview of financial products including fixed income and interest rate derivatives like interest rate swaps, caps, floors, collars, cross currency swaps, and more Follows the trade life cycle of each product Explains how new and anticipated changes in investment accounting affect the investment world Accurately recording and reporting investments across financial products requires extensive knowledge both of new and existing practices, and Accounting for Investments, Volume 2, Fixed Income Securities and Interest Rate Derivatives covers this important topic in-depth, making it an invaluable resource for professional and novice accountants alike.

Author : Howard Corb
Publisher : Columbia University Press
Page : 624 pages
File Size : 44,5 Mb
Release : 2012
Category : Business & Economics
ISBN : 9780231159647

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Interest Rate Swaps and Other Derivatives by Howard Corb Pdf

The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

Author : J. H. M. Darbyshire
Publisher : Unknown
Page : 0 pages
File Size : 44,6 Mb
Release : 2022
Category : Electronic
ISBN : 0995455546

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Pricing and Trading Interest Rate Derivatives by J. H. M. Darbyshire Pdf

Author : Richard Fedrick
Publisher : Unknown
Page : 0 pages
File Size : 43,6 Mb
Release : 2012-08-20
Category : Derivative securities
ISBN : 111999070X

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Interest-Rate Derivatives by Richard Fedrick Pdf

A comprehensive, technically rigorous guide to interest-rate derivatives from a trading floor perspective This book provides extensive coverage of bonds and money markets; yield curves; interest-rate and cross-currency swaps; swaps risk-management; breakdowns of classical swaps pricing in the credit crunch; and modern multi-curve calibration methodologies. It closes with a section on counterparty credity risk for swaps, an issue that has come to the forefront of market practice in the aftermatch of the financial crisis. Written by a practitioner for practitioners, Interest-Rate Derivatives, Volume 1 is the ideal reference for derivatives practitioners everywhere.

Author : Ingo Beyna
Publisher : Springer Science & Business Media
Page : 209 pages
File Size : 41,6 Mb
Release : 2013-02-20
Category : Mathematics
ISBN : 9783642349256

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Interest Rate Derivatives by Ingo Beyna Pdf

The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. It derives analytical pricing formulas for bonds and caplets and applies several numerical valuation techniques in the class of Cheyette model, i.e. Monte Carlo simulation, characteristic functions and PDE valuation based on sparse grids. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks. To the best of our knowledge, this sensitivity analysis of interest rate derivatives in the class of Cheyette models is unique in the literature. Up to now the valuation of interest rate derivatives using PDEs has been restricted to 3 dimensions only, since the computational effort was too great. The author picks up the sparse grid technique, adjusts it slightly and can solve high-dimensional PDEs (four dimensions plus time) accurately in reasonable time. Many topics investigated in this book are new areas of research and make a significant contribution to the scientific community of financial engineers. They also represent a valuable development for practitioners.

Author : Gerhard Larcher
Publisher : Springer Nature
Page : 363 pages
File Size : 40,9 Mb
Release : 2023-03-23
Category : Business & Economics
ISBN : 9783031238703

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The Art of Quantitative Finance Vol.2 by Gerhard Larcher Pdf

This textbook provides the necessary techniques from financial mathematics and stochastic analysis for the valuation of more complex financial products and strategies. The author discusses how to make use of mathematical methods to analyse volatilities in capital markets. Furthermore, he illustrates how to apply and extend the Black-Scholes theory to several fields in finance. In the final section of the book, the author introduces the readers to the fundamentals of stochastic analysis and presents examples of applications. This book builds on the previous volume of the author’s trilogy on quantitative finance. The aim of the second volume is to present and discuss more complex and advanced techniques of modern financial mathematics in a way that is intuitive and easy to follow. As in the previous volume, the author provides financial mathematicians with insights into practical requirements when applying financial mathematical techniques in the real world.

Author : Eric Chin,Dian Nel,Sverrir Ólafsson
Publisher : John Wiley & Sons
Page : 868 pages
File Size : 51,9 Mb
Release : 2017-03-13
Category : Business & Economics
ISBN : 9781119965824

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Problems and Solutions in Mathematical Finance, Volume 2 by Eric Chin,Dian Nel,Sverrir Ólafsson Pdf

Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers. As Volume II of the four-volume Problems and Solutions in Mathematical Finance series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations. Review the fundamentals of equity derivatives Work through problems from basic securities to advanced exotics pricing Examine numerical methods and detailed derivations of closed-form solutions Utilise formulae for probability, differential equations, and more Mathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, Problems and Solutions in Mathematical Finance Volume II provides essential guidance principally towards the subject of equity derivatives.

Author : Peter Kohl-Landgraf
Publisher : BoD – Books on Demand
Page : 222 pages
File Size : 53,8 Mb
Release : 2007
Category : Derivative securities
ISBN : 9783833495373

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PDE Valuation of Interest Rate Derivatives by Peter Kohl-Landgraf Pdf

The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling. However, due to the ever increasing complexity of interest rate products, the high dimensionality of this approach starts to reach its limits from the computational side. This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that disadvantage as they enable a low-dimensional deterministic and fast PDE valuation. The objective of this book is thereby threefold: - To illuminate in a compact way the connection between stochastic processes and partial differential equations as well as review the key features of arbitrage-free pricing. - To embed the here analyzed Markovian model class into the entire framework of interest rate models. - To present and implement robust numerical schemes, which enable an efficient computational treatment of risk-neutral product valuation by using PDE methods.

Author : Amir Sadr
Publisher : John Wiley & Sons
Page : 334 pages
File Size : 52,6 Mb
Release : 2009-08-07
Category : Business & Economics
ISBN : 9780470526118

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Interest Rate Swaps and Their Derivatives by Amir Sadr Pdf

An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.