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:
Social sciences > Mathematics.
Mathematics.
Numerical analysis.
Mathematics in Business, Economics and Finance.
Applications of Mathematics.
Numerical Analysis.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Preface
  • 1.Literature Review
  • 2.The Cheyette Model Class
  • 3.Analytical Pricing Formulas
  • 4.Calibration
  • 5.Monte Carlo Methods
  • 6.Characteristic Function Method
  • 7.PDE Valuation
  • 8.Comparison of Valuation Techniques for Interest Rate Derivatives
  • 9.Greeks
  • 10.Conclusion.-Appendices: A.Additional Calculus in the Class of Cheyette Models
  • B.Mathematical Tools
  • C.Market Data
  • References
  • Index.

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