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Interest Rate Derivatives Valuation Calibration And Sensitivity Analysis Lecture Notes In Economics And Mathematical Systems Ingo Beyna

Name: Interest Rate Derivatives Valuation Calibration And Sensitivity Analysis Lecture Notes In Economics And Mathematical Systems Ingo Beyna
SKU: BELL-564670
Price: 31.00 USD
Availability: InStock
Rating: 4.4 (42 reviews)

SKU: BELL-564670

Interest Rate Derivatives Valuation Calibration And Sensitivity Analysis Lecture Notes In Economics And Mathematical Systems Ingo Beyna

$ 31.00 ~~$ 45.00~~ (-31%)

4.4

42 reviews

Interest Rate Derivatives Valuation Calibration And Sensitivity Analysis Lecture Notes In Economics And Mathematical Systems Ingo Beyna instant download after payment.

Publisher: Springer

File Extension: PDF

File size: 2.74 MB

Pages: 220

Author: Ingo Beyna

ISBN: B00BLQCEII

Language: English

Year: 2012

Product desciption

Interest Rate Derivatives Valuation Calibration And Sensitivity Analysis Lecture Notes In Economics And Mathematical Systems Ingo Beyna by Ingo Beyna B00BLQCEII instant download after payment.

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.