Interest rate derivatives explained

Interest rate derivatives explained

by Kienitz, Joerg

Type Book
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"The interest rate derivatives markets underwent significant change in the wake of the global financial crisis, change that included the adoption of multi-curve modelling frameworks and market data. Furthermore, even for simple financial instruments significant effort for pricing and risk management can be necessary due to collateral agreements and the consideration of xVA. The latter are adjustments due to credit or liquidity issues. We not only cover multiple yield curve construction but we a…

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Title Statements

  • Full title :Interest rate derivatives explained. / Jörg Kienitz.

Summary

"The interest rate derivatives markets underwent significant change in the wake of the global financial crisis, change that included the adoption of multi-curve modelling frameworks and market data. Furthermore, even for simple financial instruments significant effort for pricing and risk management can be necessary due to collateral agreements and the consideration of xVA. The latter are adjustments due to credit or liquidity issues. We not only cover multiple yield curve construction but we also consider volatility surfaces for different underlyings. Interest Rate Derivatives Explained provides a technical but practical guide to the post-crisis fixed income markets, examining the business, products and structures and modeling of interest rate instruments."--

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Edition Statements

  • Publication Date:2014.

Publication Statements

  • Publisher(s):Palgrave Macmillan
  • Place of Publication:Basingstoke, Hampshire, United Kingdom
  • Language:eng
  • Publication Date:2014.

Notes

Titre de l'écran-titre (visionné le 2 mars 2016).

TRAITEMENT SOMMAIRE.

The Physical Object

  • Description:1 ressource en ligne.

Edition Identifiers

  • ISBN:9781137360083, 1137360089
  • oclc:ocn944311642
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.63/2283

Table of Contents

1. Clearing, Collateral, Pricing -- 2. Rates -- 3. Markets and Products: Deposits, Bonds, Futures, Repo -- 4. Markets and Products: FRA and Swaps -- 5. Using Curves -- 6. Options I -- 7. Options II -- 8. Adjustments.

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Subjects

Derivative Securities e-books Fixed-income securities Instruments dérivés (Finances) Livres électroniques Livres numériques

Writers

Kienitz, Joerg

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