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.

Jorg Kienitz (Bonn, Germany) is head of Quantitative Analytics at Deutsche Postbank AG. He is primarily involved in developing and implementing models for pricing complex derivatives structures and for asset allocation. He also lectures at university level on advanced financial modelling and implementation including the University of Oxford's part-time Masters of Finance course. Jorg works as an independent consultant for model development and validation as well as giving seminars for finance professionals. He is a speaker at the major financial conferences including Global Derivatives, WBS Fixed Income or RISK. Jorg is the member of the editorial board of International Review of Applied Financial Issues and Economics and holds a Ph.D. in stochastic analysis from the University of Bielefeld.