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Interest Rate Derivatives Explained: Volume 1: Products and Markets - Financial Engineering Explained (Hardback)
  • Interest Rate Derivatives Explained: Volume 1: Products and Markets - Financial Engineering Explained (Hardback)

Interest Rate Derivatives Explained: Volume 1: Products and Markets - Financial Engineering Explained (Hardback)

Hardback 207 Pages / Published: 05/12/2014
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Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.

Publisher: Palgrave Macmillan
ISBN: 9781137360069
Number of pages: 207
Weight: 350 g
Dimensions: 235 x 155 x 12 mm


'The credit crisis has caused a fundamental shift in how the market prices and risk manages derivatives. Although the literature on this subject is vast, this new book Interest Rate Derivatives Explained is a great starting point for quantitative analysts to gain an intuitive understanding of interest rate derivative pricing, post the financial crisis. Dr Kienitz managed to summarize the pertinent modelling aspects of current interest rate pricing methodologies in a concise easy-to-read book. Detailed practical examples will enable the reader to get up-to-speed with the latest interest rate pricing developments, in a short period of time.'

Roelof Sheppard, Head of Trading Model Validation, Standard Bank.

'Joerg Kienitz is an acknowledged expert and well-regarded practitioner in the field of interest rate modelling. This text is a near perfect combination of theory and practice after the financial crisis, and makes an important contribution to the current literature. I strongly recommend it as a companion text for all academics in mathematical finance, and am looking forward to Part 2.'

David Taylor, African Institute of Financial Markets and Risk Management, University of Cape Town.

'Interest rate derivative pricing has changed fundamentally over the last couple of years. Derivative payoff formulae used nowadays may seem generally less complex but the actual pricing of even the simplest payoff such as a fixed floating swap has become a potentially complex operation. Joerg's book points out today's key pricing issues in condensed 200 pages: the price impact of uncollateralised counterparty credit risk, the funding value of collateral, but first and foremost getting the basics right: Pricing in a multi-curve setting to account for significant basis effects and establishing the relevant volatility surfaces. The many quality references provided make it easy for you to delve deeper if you wish to do so.'

Stephan Bauer, ED, Rates & Hybrid Structuring, London.

'Joerg and I have collaborated on several financial mathematics topics (stochastic vol extrapolation, multicurves in modelling interest rates) over the past few years. Joerg's latest book is a truly unique step forward for any practitioner (both from quant and business' side) for understanding multi curve application in today's market. It is filled with proof and real life example. I implemented a lot of Joerg's solutions and they passed the industry most challenging tests! In this current market it is truly unique.'

Damien Jenner, Global Head of Quant IT HSBC, Paris.

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