Cart
Free Shipping in Australia
Proud to be B-Corp

Interest Rate Derivatives Ingo Beyna

Interest Rate Derivatives By Ingo Beyna

Interest Rate Derivatives by Ingo Beyna


$174.09
Condition - New
Only 2 left

Summary

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.

Interest Rate Derivatives Summary

Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis by Ingo Beyna

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.

About Ingo Beyna

Beyna studied mathematics at the University of Freiburg i. Br., Germany, with a focus on applied mathematics. He started his PhD at the Frankfurt School in 2007 and worked as a consultant for Ernst & Young in the financial sector. He carried out parts of his research as a visiting fellow at the University of Technology, Sydney, Australia.

Table of Contents

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.

Additional information

NLS9783642349249
9783642349249
3642349242
Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis by Ingo Beyna
New
Paperback
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
2013-03-08
209
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a new book - be the first to read this copy. With untouched pages and a perfect binding, your brand new copy is ready to be opened for the first time

Customer Reviews - Interest Rate Derivatives