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.

Asemenea modele sunt necesare pentru a tine cont de volatilitatea asimetrica/zambet si pentru a constitui fundamentul pentru stabilirea preturilor si gestionarea riscului a structurilor complexe ale ratei dobanzii, cum ar fi optiunile Constant Maturity Swap. Luam in considerare trei clase principale si anume modele cu rata scurta, modele cu rate forward instantanee si modele de piata.