عنوان
پدید آورنده
موضوع
رده
HG1621 .B49 2013
HG1621
.
B49
2013
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3642349250 (electronic bk.)
(Number (ISBN
9783642349256 (electronic bk.)
Erroneous ISBN
9783642349249
NATIONAL BIBLIOGRAPHY NUMBER
Number
b423709
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Interest rate derivatives
General Material Designation
[Book]
Other Title Information
valuation, calibration and sensitivity analysis /
First Statement of Responsibility
Ingo Beyna
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
New York :
Name of Publisher, Distributor, etc.
Springer,
Date of Publication, Distribution, etc.
c2013
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (219 p.)
SERIES
Series Title
Lecture Notes in Economics and Mathematical Systems ;
Volume Designation
666
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index
SUMMARY OR ABSTRACT
Text of Note
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
OTHER EDITION IN ANOTHER MEDIUM
Title
Interest Rate Derivatives : Valuation, Calibration and Sensitivity Analysis
International Standard Book Number
9783642349249
PIECE
Title
OhioLINK electronic book center (Online)
Title
SpringerLink
TOPICAL NAME USED AS SUBJECT
Interest rates-- Mathematical models
DEWEY DECIMAL CLASSIFICATION
Number
332
.
1/13
Edition
23
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG1621
Class number
HG1621
Book number
.
B49
2013
Book number
.
B49
2013
PERSONAL NAME - PRIMARY RESPONSIBILITY
Beyna, Ingo
CORPORATE BODY NAME - ALTERNATIVE RESPONSIBILITY
Ohio Library and Information Network
ORIGINATING SOURCE
Date of Transaction
20130501105607.0
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
