Titlebook: Interest Rate Derivatives; Valuation, Calibrati Ingo Beyna Book 2013 Springer-Verlag Berlin Heidelberg 2013 91G30, 91G60.Cheyette model.int

LAVA

镀金

PDE Valuation,itial value problem is solved numerically by the sparse grid technique based on a standard Crank Nicolson Finite Difference method with projected successive over-relaxation (PSOR). Implementing a modified sparse grid technique, we can increase the accuracy of the valuation.

吵闹

Comparison of Valuation Techniques for Interest Rate Derivatives,on can be used for plain-vanilla and exotic interest rate derivatives and yield reliable as well as adequate results in reasonable time. The assumptions within the characteristic function methodology limit its application to bonds and caplets only, and the values can be used for benchmarking and calibration.

AGATE

Anticonvulsants

Literature Review,The framework of Heath-Jarrow-Morton (HJM) is a general setting to model the evolution of the forward rate curve and was first published by Heath, Jarrow, and Morton(1992). The framework model can be used to price and hedge interest rate derivatives as described by Heath, Jarrow, Morton, and Spindel(1992).

可商量

Camouflage

FLIRT

amygdala

Ingo BeynaPresents 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

Malleable

Lecture Notes in Economics and Mathematical Systemshttp://image.papertrans.cn/i/image/470896.jpg