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Financial Engineering Explained

Interest Rate Derivatives Explained: Volume 2

Term Structure and Volatility Modelling

Authors: Kienitz, Jörg, Caspers, Peter

  • ​Reviews and analyses the Heston and the SABR model in detail
  • Considers derivatives and volatility modelling
  • Provides an overview of the numerical methods for successfully implementing the models
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eBook $19.99
price for USA (gross)
  • ISBN 978-1-137-36019-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $29.99
price for USA
  • ISBN 978-1-137-36018-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.
 

About the authors

Jörg Kienitz is Partner at Quaternion Risk Management where he is responsible for business development, pricing models research and risk management consulting. Prior to this he was a Director at Deloitte and Co-lead of the quant team. Before joining Deloitte he was Head of Quantitative Analytics at Deutsche Postbank AG where he was involved in developing/implementing models for pricing, hedging and asset allocation. He lectures at university level on advanced financial modelling and implementation at the universities of Cape Town (UCT) and Wuppertal (BUW) where he is Adjunct Associate Professor, respectively Assistant Professor. Before that he lectured in the part time Masters programme at Oxford University on Financial Mathematics. He is a speaker at a number of major quant finance conferences including Global Derivatives and WBS Fixed Income. Jörg holds a PhD in Probability Theory from Bielefeld University.


Peter Caspers is senior quantitative analyst at Quaternion Risk Management. He has over 17 years of experience as a quant in different banks and is a co-author of QuantLib, an open-source library for quantitative finance. He holds a degree in mathematics and computer science.


Table of contents (12 chapters)

Buy this book

eBook $19.99
price for USA (gross)
  • ISBN 978-1-137-36019-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $29.99
price for USA
  • ISBN 978-1-137-36018-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Interest Rate Derivatives Explained: Volume 2
Book Subtitle
Term Structure and Volatility Modelling
Authors
Series Title
Financial Engineering Explained
Copyright
2017
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-36019-9
DOI
10.1057/978-1-137-36019-9
Hardcover ISBN
978-1-137-36018-2
Edition Number
1
Number of Pages
XXVII, 248
Number of Illustrations and Tables
62 b/w illustrations
Topics