Narrow search
Showing 1 - 10 of 324
Cover Image
Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling
Kienitz, Jörg; Caspers, Peter - 2017
Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate … used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider … -- Chapter12 A Gaussian Rates-Credit pricing Framework -- Chapter13 Instantaneous Forward Rate Models -- Chapter14 The Libor …
Persistent link: https://www.econbiz.de/10012397764
Cover Image
Interest Rate Modelling
Svoboda, Simona - 2004
Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the...
Persistent link: https://www.econbiz.de/10012054390
Cover Image
Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach
Bouziane, Markus (contributor) - 2008
This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...
Persistent link: https://www.econbiz.de/10013520918
Cover Image
Aktien-, Zins- und Währungsderivate : Märkte, Einsatzmöglichkeiten, Bewertung und Risikoanalyse
Kruse, Susanne - 2014
Aktien-, Zins- und Währungsderivate Praxisorientiert und detailliert präsentiert dieses Buch die Welt der Derivate. Im Fokus stehen dabei Aktien-, Zins- und Währungsderivate, da diese Produkte in nahezu jedem Kreditinstitut zur Risikosteuerung, in deren Kundengeschäft oder im Corporate...
Persistent link: https://www.econbiz.de/10014017368
Cover Image
Formelsammlung Aktien-, Zins- und Währungsderivate
Kruse, Susanne - 2015
Grundprinzipien der Finanzmathematik und der Zinsrechnung -- Bewertung von festverzinslichen Finanzinstrumenten -- Ermittlung von Zinsstrukturkurven -- Risiikoanalyse zinstragender Finanzinstrumente -- Forward- und Future-Geschäfte -- Aktienforwards und -futures -- Zinsforwards und -futures --...
Persistent link: https://www.econbiz.de/10014018193
Cover Image
Capital Markets Trading and Investment Strategies in China : A Practitioner's Guide
Zhang, Xiaojiang - 2018
Part 1. Portfolio building blocks covering foreign exchange, money markets, fixed Income and derivatives Instruments -- 1 Traded Foreign Exchange Instruments -- 2 Traded Money Market Instruments -- 3 Fixed Income Instruments market condition, pricing mechanism, quoting and settlement convention...
Persistent link: https://www.econbiz.de/10013270840
Cover Image
New Methods in Fixed Income Modeling : Fixed Income Modeling
Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.);  … - 2018
LIBOR in a jump-diffusion framework -- An Overview of Post-Crisis Term Structure Models -- A comparison of estimation …
Persistent link: https://www.econbiz.de/10012396848
Cover Image
Pricing and Risk Management of Synthetic CDOs
Schlösser, Anna - 2011
Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula...
Persistent link: https://www.econbiz.de/10014015252
Cover Image
Credit Default Swaps : Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations
Culp, Christopher L.; Van der Merwe, Andria; Stärkle, … - 2018
This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as...
Persistent link: https://www.econbiz.de/10012396816
Cover Image
Fixed Income Analytics : Bonds in High and Low Interest Rate Environments
Marty, Wolfgang - 2017
This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analyzed and compared to different approaches proposed...
Persistent link: https://www.econbiz.de/10012397527