Peter Caspers

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest 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 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. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest 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 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. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.

Das originale Kölsch nach Adam Wrede. Eine Kurzfassung des Wrede mit zahlreichen neuen Wörtern als Handwerkszeug für alle, die sich beim Lesen, Schreiben und Hören schnell, kompakt und zuverlässig informieren möchten. - etwa 30.000 Einträge - Hochdeutsch-Kölsch und Kölsch-Hochdeutsch - mit den wichtigsten grammatikalischen Basisinformationen - Schreibweise nach Adam Wrede, der fast alle Kölschautoren folgen. Peter Caspers, geb. 1928, Betriebswirt und Autor zahlreicher Bücher, Erzählungen und Kolumnen in kölnischer Sprache, u. a. "Am Stammdesch ähnz un löstich" (1995) und "Op Kölsch jesaat" (1994 mit Willi Reisdorf)