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Interest Rate Derivatives

Valuation, Calibration And Sensitivity Analysis

by Ingo Beyna
language: english
Publisher: SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG, March of 2013 ‧
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The class of interest rate models introduced by O. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks.

Interest Rate Derivatives

Valuation, Calibration And Sensitivity Analysis

by Ingo Beyna

Property Description
ISBN: 9783642349249
Publisher: SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG
Release Date: March of 2013
Language: English
Dimensions: 155 x 235 x 20 mm
Cover: Softcover
Pages: 209
Format: Book
Collection: Lecture Notes In Economics And Mathematical Systems
Categories: Books in English > Economics, Finance and Accounting > Finances
EAN: 9783642349249

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