abandon
发表于 2025-3-21 18:50:31
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disrupt
发表于 2025-3-21 21:15:20
Book 2017st Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are ne
photopsia
发表于 2025-3-22 02:59:31
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scotoma
发表于 2025-3-22 04:56:27
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Genetics
发表于 2025-3-22 10:26:42
More Exotic Features and Basis Risk HedgingIn this chapter we discuss a number of additional exotic features beyond callability. Most of the features can be combined among each other and also with callability. We then conclude the product part with a brief overview on basis products.
BLANK
发表于 2025-3-22 15:43:40
ExposuresAfter August 2007 and with all the new regulatory requirements, term structure models are applied to simulate interest rate scenarios. This is done either under the real world or the risk neutral measure to estimate exposure for interest rate bearing instruments.
Pigeon
发表于 2025-3-22 19:33:58
The Heston ModelIn this chapter we introduce the subject of volatility modelling. Some issues have already been tackled in Kienitz (2014). We start with a short general introduction.
粘
发表于 2025-3-22 23:46:30
The SABR ModelThis chapter is devoted to one of the most famous models used for smile and skew modelling in the interest rate markets. The .tochastic .lpha .eta .ho model or SABR in short was introduced in Hagan et al. (2002) and due to its ease of use and its flexibility was always among the first choice by practitioners.
充满装饰
发表于 2025-3-23 01:49:50
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gratify
发表于 2025-3-23 09:25:47
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