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Other titles in the Lecture Notes in Economic and Mathematical Systems series:

Lecture Notes in Economic and Mathematical Systems #666: Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis

by

Lecture Notes in Economic and Mathematical Systems #666: Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis Cover

 

Synopses & Reviews

Publisher Comments:

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

Synopsis:

This volume deals with the class of Cheyette interest rate models

About the Author

Beyna studied mathematics at the University of Freiburg i. Br., Germany, with a focus on applied mathematics. He started his PhD at the Frankfurt School in 2007 and worked as a consultant for Ernst & Young in the financial sector. He carried out parts of his research as a visiting fellow at the University of Technology, Sydney, Australia.

Table of Contents

Preface.- 1.Literature Review.- 2.The Cheyette Model Class.- 3.Analytical Pricing Formulas.- 4.Calibration.- 5.Monte Carlo Methods.- 6.Characteristic Function Method.- 7.PDE Valuation.- 8.Comparison of Valuation Techniques for Interest Rate Derivatives.- 9.Greeks.- 10.Conclusion.-Appendices: A.Additional Calculus in the Class of Cheyette Models.- B.Mathematical Tools.- C.Market Data.- References.- Index.​

Product Details

ISBN:
9783642349249
Author:
Beyna, Ingo
Publisher:
Springer
Location:
Berlin, Heidelberg
Subject:
Game Theory
Subject:
91G30, 91G60
Subject:
Cheyette model
Subject:
Interest-Rate Derivatives
Subject:
multifactor HJM model
Subject:
Numerical methods
Subject:
Valuation
Subject:
Quantitative Finance
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Numerical analysis
Subject:
Mathematics-Applied
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Finance
Copyright:
Edition Description:
2013
Series:
Lecture Notes in Economics and Mathematical Systems
Series Volume:
666
Publication Date:
20121218
Binding:
TRADE PAPER
Language:
English
Pages:
220
Dimensions:
235 x 155 mm

Related Subjects

Business » Investing
Engineering » Engineering » General Engineering
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Foundations and Logic
Science and Mathematics » Mathematics » Introduction
Science and Mathematics » Mathematics » Modeling

Lecture Notes in Economic and Mathematical Systems #666: Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis New Trade Paper
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Product details 220 pages Springer - English 9783642349249 Reviews:
"Synopsis" by , This volume deals with the class of Cheyette interest rate models
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