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Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Lecture Notes in Economics and Mathematical Systems)
Ingo Beyna
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Description for Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Lecture Notes in Economics and Mathematical Systems)
Paperback. This volume deals with the class of Cheyette interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 227 pages, 33 black & white illustrations, biography. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 235 x 157 x 13. Weight in Grams: 342.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2013
Publisher
Springer
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
209
Place of Publication
Berlin, Germany
ISBN
9783642349249
SKU
V9783642349249
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Ingo Beyna
Beyna studied mathematics at the University of Freiburg i. Br., Germany, with a focus on applied mathematics. He started his PhD at the Frankfurt School in 2007 and worked as a consultant for Ernst & Young in the financial sector. He carried out parts of his research as a visiting fellow at the University of Technology, Sydney, Australia.
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