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Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Repost)

Posted By: zolao
Date: 10 Aug 2013 12:17:53
Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Repost)

Ingo Beyna, "Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis"
Published: 2013-02-20 | ISBN: 3642349242 | PDF | 220 pages | 3 MB

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.

Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Repost)

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