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...
Guardat en:
| Autor principal: | |
|---|---|
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edició: | 1st ed. 2013. |
| Col·lecció: | Lecture Notes in Economics and Mathematical Systems
|
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Interest Rate Derivatives, Texte imprimé, 9783642349249 |
| LEADER | 03567nam a22003257a 4500 | ||
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| 009 | PPN168327740 | ||
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| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 100 | 1 | |a Beyna, Ingo, |d 19..- | |
| 245 | 1 | 0 | |a Interest rate derivatives : |b valuation, calibration and sensitivity analysis |c by Ingo Beyna. |
| 250 | |a 1st ed. 2013. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Lecture Notes in Economics and Mathematical Systems |x 2196-9957 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a 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. | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks. To the best of our knowledge, this sensitivity analysis of interest rate derivatives in the class of Cheyette models is unique in the literature. Up to now the valuation of interest rate derivatives using PDEs has been restricted to 3 dimensions only, since the computational effort was too great. The author picks up the sparse grid technique, adjusts it slightly and can solve high-dimensional PDEs (four dimensions plus time) accurately in reasonable time.Many topics investigated in this book are new areas of research and make a significant contribution to the scientific community of financial engineers. They also represent a valuable development for practitioners. | ||
| 776 | 0 | |t Interest Rate Derivatives |b Texte imprimé |z 9783642349249 | |
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| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-8T3NL8D3-P |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:74792533X |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-3-642-34925-6 |z Accès Université d'Orléans | |
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