000 03522nam a22005055i 4500
001 978-3-642-34925-6
003 DE-He213
005 20180115171739.0
007 cr nn 008mamaa
008 130220s2013 gw | s |||| 0|eng d
020 _a9783642349256
_9978-3-642-34925-6
024 7 _a10.1007/978-3-642-34925-6
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aBeyna, Ingo.
_eauthor.
245 1 0 _aInterest Rate Derivatives
_h[electronic resource] :
_bValuation, Calibration and Sensitivity Analysis /
_cby Ingo Beyna.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg :
_bImprint: Springer,
_c2013.
300 _aXVIII, 209 p. 33 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Economics and Mathematical Systems,
_x0075-8442 ;
_v666
505 0 _aPreface -- 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 _aThe 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 _aMathematics.
650 0 _aApplied mathematics.
650 0 _aEngineering mathematics.
650 0 _aEconomics, Mathematical.
650 0 _aNumerical analysis.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aApplications of Mathematics.
650 2 4 _aNumerical Analysis.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642349249
830 0 _aLecture Notes in Economics and Mathematical Systems,
_x0075-8442 ;
_v666
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-34925-6
912 _aZDB-2-SMA
999 _c372702
_d372702