Interest Rate Derivatives Explained: Term Structure and Volatility Modelling

Volume 2 of Interest Rate Derivatives Explained provides advanced but practical guidance on interest rate derivatives, focussing on term structure modelling and volatility models. Mathematically rigorous yet focussed on intuition and implementation, it will cover applied models such as the Heston model and SABR and provide a comprehensive overview of short rates and the Libor Market Model (LMM), structured products and financial engineering. This book will pick up where Volume 1 left off, and provide an applied account of IR modelling for practitioners and students.