Interest Rate Derivatives Explained: Volume 2

Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. We consider three main classes namely short rate models, instantaneous forward rate models and market models.

Astfel de modele sunt necesare pentru a tine cont de volatilitatea inclinata / zambitoare si constituie fundamentul pentru stabilirea preturilor si gestionarea riscurilor structurilor complexe ale ratei dobanzii, cum ar fi optiunile de schimb constant de maturitate. Luam in considerare trei clase principale si anume modele cu rata scurta, modele cu rata directa instantanee si modele de piata.