Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis /

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...

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Bibliographic Details
Main Author: Beyna, Ingo (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Series:Lecture Notes in Economics and Mathematical Systems, 666
Subjects:
Mathematics.
Applied mathematics.
Engineering mathematics.
Economics, Mathematical.
Numerical analysis.
Quantitative Finance.
Applications of Mathematics.
Numerical Analysis.
Online Access:Full Text via HEAL-Link

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ΒΚΠ - Πατρα: ALFd

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Call Number: 330.01 BAU
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ΒΚΠ - Πατρα: BSC

Holdings details from ΒΚΠ - Πατρα: BSC
Call Number: 330.01 BAU
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