| 书目名称 | Interest Rate Derivatives |
| 副标题 | Valuation, Calibrati |
| 编辑 | Ingo Beyna |
| 视频video | |
| 概述 | Presents sensitivity analysis of interest rate derivatives in the class of Cheyette models that is unique in the literature.Uses sparse grid technique, adjusts it slightly and can solve high-dimension |
| 丛书名称 | Lecture Notes in Economics and Mathematical Systems |
| 图书封面 |  |
| 描述 | 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 bookare new areas of research and make |
| 出版日期 | Book 2013 |
| 关键词 | 91G30, 91G60; Cheyette model; interest rate derivatives; multifactor HJM model; numerical methods; valuat |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-34925-6 |
| isbn_softcover | 978-3-642-34924-9 |
| isbn_ebook | 978-3-642-34925-6Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2013 |
发表于 2025-3-21 16:19:37
