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Interest Rate Derivatives
- Valuation, Calibration and Sensitivity Analysis
- Language:
- English
- ISBN:
- 9783642349249
- Binding:
- Paperback
- Pages:
- 209
- Published:
- March 7, 2013
- Edition:
- 2013
- Dimensions:
- 157x235x13 mm.
- Weight:
- 342 g.
Delivery:
1-2 weeks
Expected delivery: November 29, 2024
Description of Interest Rate Derivatives
The class of interest rate models introduced by O. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks.
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