E-book
Interest Rate Derivatives [electronic resource] : Valuation, Calibration and Sensitivity Analysis / by Ingo Beyna.
Record details
- ISBN: 9783642349256
- Physical Description: XVIII, 209 p. 33 illus. online resource.
- Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : 2013.
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| Subject: | Mathematics. Finance. Numerical analysis. Mathematics. Quantitative Finance. Applications of Mathematics. Numerical Analysis. |
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Electronic resources
| 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.â. |
