{"entities":{"Q690694":{"pageid":692543,"ns":120,"title":"Item:Q690694","lastrevid":63523050,"modified":"2026-04-11T13:44:31Z","type":"item","id":"Q690694","labels":{"en":{"language":"en","value":"Interest rate derivatives. Valuation, calibration and sensitivity analysis"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6110852"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q690694$E146BDDF-82EB-427F-8562-535D40F774F4","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"9da645cda0766cd145ad9e69a6fea054a0c9bbd5","datavalue":{"value":{"text":"Interest rate derivatives. Valuation, calibration and sensitivity analysis","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q690694$51F6B844-D1EC-4C7E-B897-F3C2AA6D8807","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"57c778657a45985da8d2a34878eaf24fc0add267","datavalue":{"value":"1264.91127","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$D8D49AA8-37FE-4396-9D2B-F974F1CAD1AB","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"667c6bc0258f888f38e60ae4db35ac12755901bb","datavalue":{"value":"10.1007/978-3-642-34925-6","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$1FDE10B8-536C-48A8-B8B6-B42B46C41FD7","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"506feb1bb841b2ffd8882f4aea2523cfc2f653c2","datavalue":{"value":{"entity-type":"item","numeric-id":690693,"id":"Q690693"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q690694$B84BB793-9248-4D8A-A431-48C2239EBF28","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"b71fd13bb50727ff0e6862586a62b4839b90827d","datavalue":{"value":{"entity-type":"item","numeric-id":162392,"id":"Q162392"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q690694$2FDE4F66-99AA-4CC4-BBB2-17EF77031A76","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"be9793e0997236bbedace667e42a4b1d0d419f44","datavalue":{"value":{"time":"+2012-11-28T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q690694$CD9F4D93-8FB4-4129-99A2-B6875CD71ACF","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"c591084d216bbf20f09bf053966302386e3e94b0","datavalue":{"value":"This book deals with the pricing and hedging of interest rate derivatives in a class of multifactor Gaussian Heath-Jarrow-Morton models proposed by [Cheyette, Working Paper, (1994)]. In this setting, the author details the valuation of bonds, caplets/floorlets, and more exotic contracts using a variety of methods, ranging from analytical formulas, Fourier-Laplace methods, finite difference schemes, to Monte-Carlo simulation. He also discusses how to calibrate the models to quoted market prices. Finally, the author describes how to compute various sensitivities, the so-called ``Greeks'', and how to use these for hedging the interest rate derivatives under consideration.","type":"string"},"datatype":"string"},"type":"statement","id":"Q690694$A46C374A-892F-4144-89AC-5CFB8FAF9F74","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"13d92f2f2197122fea42d76bd659bbbeba82af93","datavalue":{"value":{"entity-type":"item","numeric-id":253112,"id":"Q253112"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q690694$598F154B-A554-4D43-BBBD-D15EF88E4A50","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"dccdbd0e62d4e76222cc72ffd93ed1b71c389e37","datavalue":{"value":"91-02","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$F740E7D2-94CC-4494-BE21-8DC649F05295","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"430bfe9f518c2ca34636300d2eb2688c66c08e36","datavalue":{"value":"91G30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$AD207DB6-B492-403F-8AF3-F755B2899BA8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$8F61861E-60EB-41C2-A49C-EE6F5EB8848F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9fa3e81bd1d73482efe437e765d72accba82d844","datavalue":{"value":"91G80","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$4734DA69-4A48-4121-A6C2-D34090F6B837","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"8a06d2342ef4108df5c7988e0130395522c80ae3","datavalue":{"value":"6110852","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$8D43352E-1461-43EB-A306-374A77353DCF","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a9e694f7018a0342b1e8b4807c9fc1a56928068a","datavalue":{"value":"interest rate derivatives","type":"string"},"datatype":"string"},"type":"statement","id":"Q690694$9BB51732-5581-4D4C-83A1-C01D574CE2FD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"08349b2096bd4d91b619035254e3027c09c5da9f","datavalue":{"value":"Heath-Jarrow-Morton model","type":"string"},"datatype":"string"},"type":"statement","id":"Q690694$C2893D1C-A89F-40C3-ABFF-2B2BAB6CF0E1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2bc3cd67d8a9d1aa73fd71c463e1b873f6f9ff86","datavalue":{"value":"Cheyette model","type":"string"},"datatype":"string"},"type":"statement","id":"Q690694$B6B8DEAD-C052-4372-9BD9-91B7DA773E0B","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q690694$F7ED1C1E-61CF-4781-A5F2-D4D92F00797F","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"e27a61616208edcd5538251b9ba0493071cb8c57","datavalue":{"value":"https://doi.org/10.1007/978-3-642-34925-6","type":"string"},"datatype":"url"},"type":"statement","id":"Q690694$35B855AF-8913-4868-A35C-7BD78EC34D55","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"c7fceab43c9397a6217f28247b5bea2b2e881ecb","datavalue":{"value":"W2486672630","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q690694$A564F98F-A914-4BC8-8B2E-56F7CB9CB29D","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c0b3c826c3cf4c7727d98938c1f0b91004cb63df","datavalue":{"value":{"entity-type":"item","numeric-id":4603068,"id":"Q4603068"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"abb407bf7338eee23702ea5385ed3a72bfb052c8","datavalue":{"value":{"amount":"+0.8078843951225281","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q690694$285AC665-1FC0-4F5C-AA8B-0CB9E447FB50","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"39f6e5261ecedd88987fb31d56a4a165ad33bfaa","datavalue":{"value":{"entity-type":"item","numeric-id":5192640,"id":"Q5192640"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"cc6e9869ef0dbb337ecda13090657ef8b6e123a5","datavalue":{"value":{"amount":"+0.8055996298789978","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q690694$D9BC92E3-A6BA-4140-B890-0FC52CF58EF8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7bf1b2458c2edbca16cedb2f65faa047c4a221b0","datavalue":{"value":{"entity-type":"item","numeric-id":5936853,"id":"Q5936853"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a4482a95de69cfea6cd61025dfc277f679b29314","datavalue":{"value":{"amount":"+0.8049677610397339","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q690694$C08366F7-F010-46E3-BD40-D1F7F07959E2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e7da5aae64ded29c15622eba13eaff996457d05d","datavalue":{"value":{"entity-type":"item","numeric-id":2891963,"id":"Q2891963"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d8801a2fa92c51f7ba4057fd580f823f82eb07a2","datavalue":{"value":{"amount":"+0.8033815026283264","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q690694$B3FA9E92-ED0D-4FFF-8B05-112BBA3B64BA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ebf572b84dc950ab96768117a60e9e74cfbb9149","datavalue":{"value":{"entity-type":"item","numeric-id":5447499,"id":"Q5447499"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1683986b6948e1d15a1094748ba81f6402013cd6","datavalue":{"value":{"amount":"+0.8013163805007935","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q690694$95411960-8F9C-4888-B540-0E7233D1AF08","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Interest rate derivatives. Valuation, calibration and sensitivity analysis","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Interest_rate_derivatives._Valuation,_calibration_and_sensitivity_analysis"}}}}}