Overview
- 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
- Includes supplementary material: sn.pub/extras
Part of the book series: Financial Engineering Explained (FEX)
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Table of contents (12 chapters)
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Products
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Volatility
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Term Structure Models
Keywords
About this book
Authors and Affiliations
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.
Bibliographic Information
Book Title: Interest Rate Derivatives Explained: Volume 2
Book Subtitle: Term Structure and Volatility Modelling
Authors: Jörg Kienitz, Peter Caspers
Series Title: Financial Engineering Explained
DOI: https://doi.org/10.1057/978-1-137-36019-9
Publisher: Palgrave Macmillan London
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2017
Hardcover ISBN: 978-1-137-36018-2Published: 24 November 2017
Softcover ISBN: 978-1-349-95378-3Published: 30 August 2018
eBook ISBN: 978-1-137-36019-9Published: 08 November 2017
Edition Number: 1
Number of Pages: XXVII, 248
Number of Illustrations: 62 b/w illustrations
Topics: Financial Engineering, Capital Markets, Investments and Securities, Risk Management, Banking