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Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis /

The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analy...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Beyna, Ingo (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Edición:1st ed. 2013.
Colección:Lecture Notes in Economics and Mathematical Systems,
Temas:
Acceso en línea:Texto Completo