| #4811308 in Books | Springer | 2013-02-20 | 2013-03-08 | Original language:English | PDF # 1 | 9.25 x.52 x6.10l,.72 | File type: PDF | 209 pages | |
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....
You can specify the type of files you want, for your gadget.Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Lecture Notes in Economics and Mathematical Systems) | Ingo Beyna. Which are the reasons I like to read books. Great story by a great author.
