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The Resource Interest rate derivatives : valuation, calibration and sensitivity analysis, Ingo Beyna

Interest rate derivatives : valuation, calibration and sensitivity analysis, Ingo Beyna

Label
Interest rate derivatives : valuation, calibration and sensitivity analysis
Title
Interest rate derivatives
Title remainder
valuation, calibration and sensitivity analysis
Statement of responsibility
Ingo Beyna
Creator
Subject
Language
eng
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--
Member of
Assigning source
Provided by Publisher
Cataloging source
NLGGC
http://library.link/vocab/creatorName
Beyna, Ingo
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Lecture notes in economics and mathematical systems
Series volume
666
http://library.link/vocab/subjectName
  • Interest rates
  • Interest rate futures
  • Interest rate swaps
Label
Interest rate derivatives : valuation, calibration and sensitivity analysis, Ingo Beyna
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references (pages 203-205) and index
Carrier category
  • volume
  • band
Carrier category code
  • nc
  • nc
Carrier MARC source
  • rdacarrier.
  • rdacarrier/dut.
Content category
  • text
  • tekst
Content type code
  • txt
  • txt
Content type MARC source
  • rdacontent.
  • rdacontent/dut.
Contents
Literature Review -- The Cheyette Model Class -- Analytical Pricing Formulas -- Calibration -- Monte Carlo Methods -- Characteristic Function Method -- PDE Valuation -- Comparison of Valuation Techniques for Interest Rate Derivatives -- Greeks -- Conclusion
Control code
FIEb17319900
Dimensions
24 cm.
Extent
xviii, 209 pages
Isbn
9783642349249
Media category
  • unmediated
  • zonder medium
Media MARC source
  • rdamedia.
  • rdamedia/dut.
Media type code
  • n
  • n
Other physical details
illustrations
System control number
(OCoLC)837856076
Label
Interest rate derivatives : valuation, calibration and sensitivity analysis, Ingo Beyna
Publication
Copyright
Bibliography note
Includes bibliographical references (pages 203-205) and index
Carrier category
  • volume
  • band
Carrier category code
  • nc
  • nc
Carrier MARC source
  • rdacarrier.
  • rdacarrier/dut.
Content category
  • text
  • tekst
Content type code
  • txt
  • txt
Content type MARC source
  • rdacontent.
  • rdacontent/dut.
Contents
Literature Review -- The Cheyette Model Class -- Analytical Pricing Formulas -- Calibration -- Monte Carlo Methods -- Characteristic Function Method -- PDE Valuation -- Comparison of Valuation Techniques for Interest Rate Derivatives -- Greeks -- Conclusion
Control code
FIEb17319900
Dimensions
24 cm.
Extent
xviii, 209 pages
Isbn
9783642349249
Media category
  • unmediated
  • zonder medium
Media MARC source
  • rdamedia.
  • rdamedia/dut.
Media type code
  • n
  • n
Other physical details
illustrations
System control number
(OCoLC)837856076

Library Locations

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