Term structure and volatility modelling

Jörg Kienitz, Peter Caspers

"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."--Jacket flap

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Year of publication:	[2017]
Authors:	Kienitz, Jörg ; Caspers, Peter
Published in:	Interest rate derivatives explained ; Volume 2
Publisher:	London, United Kingdom : Palgrave Macmillan
Subject:	Zinsderivat \| Interest rate derivative \| Zinsstruktur \| Yield curve \| Volatilität \| Volatility
Description of contents:	Table of Contents [gbv.de]

Extent:	xxvii, 248 Seiten Illustrationen
Series:	Financial engineering explained
Type of publication:	Book / Working Paper
Language:	English
ISBN:	1-137-36018-6 ; 978-1-137-36018-2 ; 978-1-137-36019-9
Other identifiers:	10.1057/978-1-137-36019-9 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011665631