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...
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2013. |
| Serie: | Lecture Notes in Economics and Mathematical Systems
|
| Accesso online: | 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 |
Sommario:
- 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.