| Document Type
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BL
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| Record Number
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594490
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| Doc. No
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b423709
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| Main Entry
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Beyna, Ingo
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| Title & Author
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Interest rate derivatives : valuation, calibration and sensitivity analysis /\ Ingo Beyna
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| Publication Statement
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Berlin ;New York :: Springer,, c2013
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| Series Statement
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Lecture Notes in Economics and Mathematical Systems ;; 666
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| Page. NO
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1 online resource (219 p.)
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| ISBN
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9783642349256 (electronic bk.)
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: 3642349250 (electronic bk.)
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9783642349249
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Abstract
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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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| Subject
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Interest rates-- Mathematical models
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| Dewey Classification
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332.1/13
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| LC Classification
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HG1621.B49 2013
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HG1621.B49 2013
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| Added Entry
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Ohio Library and Information Network
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