Interest rate derivatives. Valuation, calibration and sensitivity analysis

DOI10.1007/978-3-642-34925-6MaRDI QIDQ690694zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Analytical finance. Volume II. The mathematics of interest rate derivatives, markets, risk and valuation
• Interest rate modeling. Theory and practice.
• Interest rate models -- theory and practice
• An elementary introduction to stochastic interest rate modeling.
• Engineering BGM.

Cited in

(7)

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

This page was built for publication: Interest rate derivatives. Valuation, calibration and sensitivity analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q690694)