Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling - Couverture souple

Kienitz, Jörg

Couverture souple

ISBN 10 : 1349953784 ISBN 13 : 9781349953783

Editeur : Palgrave Macmillan, 2018

Synopsis

​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

A propos du livre

À propos de l?auteur

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.

Détails de l'édition

• Éditeur: Palgrave Macmillan
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 1349953784
• ISBN 13: 9781349953783
• Reliure: Broché
• Nombre de pages: 276
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3,69115 Heidelberg, Germany; Heidelberg; 69115; Allemagne