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010   $a9781137360199
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100   $a20171109d2017      u|         0
101 0 $aeng
135   $aurnn#008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aInterest Rate Derivatives Explained: Volume 2 $eTerm Structure and Volatility Modelling /$fby Jörg Kienitz, Peter Caspers
205   $a1st ed. 2017.
210  1$aLondon :$cPalgrave Macmillan UK :$cImprint: Palgrave Macmillan,$d2017.
215   $a1 online resource (XXVII, 248 p. 62 illus.)
225 1 $aFinancial Engineering Explained
311 08$a9781137360182 
311 08$a1137360186 
320   $aIncludes bibliographical references and index.
327   $aChapter1 Goals of this Book and Global Overview -- Chapter2 Vanilla Bonds and Asset Swaps -- Chapter3 Callable (and Puttable) Bonds -- Chapter4 Structured Finance -- Chapter5 More Exotic Features -- Chapter6 Basis Hedging -- Chapter7 Exposures -- Chapter8 The Heston Model -- Chapter9 The SABR Model -- Chapter10 Term Structure Models -- Chapter11 Short Rate Models -- Chapter12 A Gaussian Rates-Credit pricing Framework -- Chapter13 Instantaneous Forward Rate Models -- Chapter14 The Libor Market Model -- Chapter15 Numerical Techniques.-.
330   $aThis book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.  .
410  0$aFinancial Engineering Explained
606   $aFinancial engineering
606   $aCapital market
606   $aFinancial services industry
606   $aFinancial risk management
606   $aFinancial Engineering
606   $aCapital Markets
606   $aFinancial Services
606   $aRisk Management
615  0$aFinancial engineering.
615  0$aCapital market.
615  0$aFinancial services industry.
615  0$aFinancial risk management.
615 14$aFinancial Engineering.
615 24$aCapital Markets.
615 24$aFinancial Services.
615 24$aRisk Management.
676   $a332.632044
700   $aKienitz$b Jörg$4aut$4http://id.loc.gov/vocabulary/relators/aut$0934064
702   $aCaspers$b Peter$4aut$4http://id.loc.gov/vocabulary/relators/aut
906   $aBOOK
912   $a9910255053603321
996   $aInterest Rate Derivatives Explained: Volume 2$92217321
997   $aUNINA