Interest rate derivatives : valuation, calibration and sensitivity analysis / Ingo Beyna.
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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| Main Author: | |
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| Format: | Ebook |
| Language: | English |
| Published: |
Heidelberg ; New York :
Springer,
[2013]
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| Series: | Lecture notes in economics and mathematical systems ;
666. |
| Subjects: | |
| Online Access: | Springer eBooks Contributor biographical information |
| Summary: | 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 analysis in multifactor models. It derives analytical pricing formulas for bonds and caplets and applies several numerical valuation techniques in the class of Cheyette model, i.e. Monte Carlo simulation, characteristic functions and PDE valuation based on sparse grids. |
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| Physical Description: | 1 online resource (xviii, 209 pages) : illustrations. |
| Format: | Mode of access: World Wide Web. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 1299337554 3642349250 9781299337558 9783642349256 |