Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis /

• 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.

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...

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.