Overview
- Based on strong empirical evidence this book provides an explanation of actual Market Data (including new setting for quotation, negative rates, etc.)
- Explores new multi-curve set-up and provides a detailed outline of the new multi-curve set-up and the implications for risk management and pricing
- Offers practical guidance and provides a detailed explanation of the fundamental products, alongside applied 'how to' advice
Part of the book series: Financial Engineering Explained (FEX)
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Table of contents (9 chapters)
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Introduction Goals of this Book and Global Overview
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Markets and Linear Products
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Markets and Non-Linear Products
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Counterparty Credit Risk Adjustments
Keywords
About this book
Reviews
'The credit crisis has caused a fundamental shift in how the market prices and risk manages derivatives. Although the literature on this subject is vast, this new book Interest Rate Derivatives Explained is a great starting point for quantitative analysts to gain an intuitive understanding of interest rate derivative pricing, post the financial crisis. Dr Kienitz managed to summarize the pertinent modelling aspects of current interest rate pricing methodologies in a concise easy-to-read book. Detailed practical examples will enable the reader to get up-to-speed with the latest interest rate pricing developments, in a short period of time.'
Roelof Sheppard, Head of Trading Model Validation, Standard Bank.
'Jörg Kienitz is an acknowledged expert and well-regarded practitioner in the field of interest rate modelling. This text is a near perfect combination of theory and practice after the financial crisis, and makes an important contribution to the current literature.I strongly recommend it as a companion text for all academics in mathematical finance, and am looking forward to Part 2.'
David Taylor, African Institute of Financial Markets and Risk Management, University of Cape Town.
'Interest rate derivative pricing has changed fundamentally over the last couple of years. Derivative payoff formulae used nowadays may seem generally less complex but the actual pricing of even the simplest payoff such as a fixed floating swap has become a potentially complex operation. Jörg's book points out today's key pricing issues in condensed 200 pages: the price impact of uncollateralised counterparty credit risk, the funding value of collateral, but first and foremost getting the basics right: Pricing in a multi-curve setting to account for significant basis effects and establishing the relevant volatility surfaces. The many quality references provided make it easy for you to delve deeper if you wish to do so.'
Stephan Bauer, ED, Rates & Hybrid Structuring, London.
'Jörg and I have collaborated on several financial mathematics topics (stochastic vol extrapolation, multicurves in modelling interest rates) over the past few years. Jörg's latest book is a truly unique step forward for any practitioner (both from quant and business' side) for understanding multi curve application in today's market. It is filled with proof and real life example. I implemented a lot of Jörg's solutions and they passed the industry most challenging tests! In this current market it is truly unique.'
Damien Jenner, Global Head of Quant IT HSBC, Paris.
About the author
Bibliographic Information
Book Title: Interest Rate Derivatives Explained
Book Subtitle: Volume 1: Products and Markets
Authors: Jörg Kienitz
Series Title: Financial Engineering Explained
DOI: https://doi.org/10.1057/9781137360076
Publisher: Palgrave Macmillan London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2014
Hardcover ISBN: 978-1-137-36006-9Published: 05 December 2014
Softcover ISBN: 978-1-349-95377-6Published: 07 June 2019
eBook ISBN: 978-1-137-36007-6Published: 05 December 2014
Edition Number: 1
Number of Pages: XIV, 207
Topics: Risk Management, Capital Markets, Banking, Investments and Securities, Financial Engineering