rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Interest Rate Derivatives
    sub title: Valuation, Calibration and Sensitivity Analysis
  name:
    name part: Beyna, Ingo.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2013
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVIII, 209 p. 33 illus. online resource.
  abstract: 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.
  table of contents: 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.
  note: by Ingo Beyna.
  subject:
    topic: Mathematics
  subject:
    topic: Applied mathematics
  subject:
    topic: Engineering mathematics
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Numerical analysis
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Applications of Mathematics
  subject:
    topic: Numerical Analysis
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Lecture Notes in Economics and Mathematical Systems, 666
  identifier: 9783642349256
  identifier: http://dx.doi.org/10.1007/978-3-642-34925-6
  record info:
    record creation date: 130220
    record change date: 20151120171316.0
    record identifier: 978-3-642-34925-6