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Field name	Details
Dewey Class	519
Title	Interest Rate Derivatives ([Ebook]) : Valuation, Calibration and Sensitivity Analysis / by Ingo Beyna.
Author	Beyna, Ingo
Other name(s)	SpringerLink (Online service)
Publication	Berlin, Heidelberg : Springer
Publication	, 2013.
Physical Details	XVIII, 209 pages: 33 illus. : online resource.
Series	Lecture notes in economics and mathematical systems 0075-8442 ; ; 666
ISBN	9783642349256
Summary Note	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.:
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.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-3-642-34925-6
Links to Related Works	Subject References: Applications of Mathematics . Finance . Mathematics . Numerical Analysis . Quantitative Finance . Authors: Beyna, Ingo . Corporate Authors: SpringerLink (Online service) . Series: Lecture notes in economics and mathematical systems . Classification: 519 . 519 (DDC 23) .

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Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis

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