Interest rate derivatives. Valuation, calibration and sensitivity analysis

DOI10.1007/978-3-642-34925-6zbMATH Open1264.91127OpenAlexW2486672630MaRDI QIDQ690694FDOQ690694

Authors: Ingo Beyna 

Publication date: 28 November 2012

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-34925-6

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zbMATH Keywords

Heath-Jarrow-Morton modelinterest rate derivativesCheyette model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

Cited In (7)

• AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
• Term structure modeling with overnight rates beyond stochastic continuity
• Analytical finance. Volume II. The mathematics of interest rate derivatives, markets, risk and valuation
• The investor problem based on the HJM model
• Robust Libor Modelling and Pricing of Derivative Products
• Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
• Duration, factor sensitivities, and interest rate Greeks

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