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Interest Rate Derivatives
Valuation, Calibration And Sensitivity Analysis
language: english
Publisher:
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG, March of 2013 ‧
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SYNOPSIS
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.
DETAILS
| 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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