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OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20140310151459.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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130220s2013 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642349256 |
|
978-3-642-34925-6 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB135-147 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg : |
| -- |
Imprint: Springer, |
| -- |
2013. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Beyna, Ingo. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Interest Rate Derivatives |
| Medium |
[electronic resource] : |
| Remainder of title |
Valuation, Calibration and Sensitivity Analysis / |
| Statement of responsibility, etc |
by Ingo Beyna. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XVIII, 209 p. 33 illus. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Lecture Notes in Economics and Mathematical Systems, |
| International Standard Serial Number |
0075-8442 ; |
| Volume number/sequential designation |
666 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Preface -- 1.Literature Review -- 2.The Cheyette Model Class -- 3.Analytical Pricing Formulas -- 4.Calibration -- 5.Monte Carlo Methods -- 6.Characteristic Function Method -- 7.PDE Valuation -- 8.Comparison of Valuation Techniques for Interest Rate Derivatives -- 9.Greeks -- 10.Conclusion.-Appendices: A.Additional Calculus in the Class of Cheyette Models -- B.Mathematical Tools -- C.Market Data -- References -- Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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 book are new areas of research and make a significant contribution to the scientific community of financial engineers. They also represent a valuable development for practitioners. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Numerical analysis. |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
|
|---|
| Topical term or geographic name as entry element |
Applications of Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Numerical Analysis. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642349249 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-34925-6 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
