Interest Rate Derivatives Explained: Volume 2

Part I. Products

1. Vanilla Bonds and Asset Swaps
Jörg Kienitz, Peter Caspers

2. Callability Features
Jörg Kienitz, Peter Caspers

3. Structured Finance
Jörg Kienitz, Peter Caspers

4. More Exotic Features and Basis Risk Hedging
Jörg Kienitz, Peter Caspers

5. Exposures
Jörg Kienitz, Peter Caspers

Part II. Volatility

6. The Heston Model
Jörg Kienitz, Peter Caspers

7. The SABR Model
Jörg Kienitz, Peter Caspers

Part III. Term Structure Models

8. Term Structure Models
Jörg Kienitz, Peter Caspers

9. Short Rate Models
Jörg Kienitz, Peter Caspers

10. A Gaussian Rates-Credit Pricing Framework
Jörg Kienitz, Peter Caspers

11. Instantaneous Forward Rate Models and the Heath–Jarrow–Morton Framework
Jörg Kienitz, Peter Caspers

12. The Libor Market Model
Jörg Kienitz, Peter Caspers

Avainsanat: Finance, Financial Engineering, Capital Markets, Investments and Securities, Risk Management, Banking