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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...
| Cote: | Libro Electrónico |
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| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2013.
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| Édition: | 1st ed. 2013. |
| Collection: | Lecture Notes in Economics and Mathematical Systems,
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| Accès en ligne: | Texto Completo |