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Interest Rate Derivatives :...
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
Monografía
monografia Rebiun21720399 https://catalogo.rebiun.org/rebiun/record/Rebiun21720399 cr c||||||||| 130220s2013 gw o 001 0 eng d 9783642349256 10.1007/978-3-642-34925-6 doi UR0379351 CBUC 991000507049706712 CBUC 991031675879706706 UAL spa UAL rdc KF bicssc MAT003000 bisacsh BUS027000 bisacsh 519 23 Beyna, Ingo. author Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis by Ingo Beyna Berlin, Heidelberg Springer Berlin Heidelberg Imprint: Springer 2013 Berlin, Heidelberg Berlin, Heidelberg Springer Berlin Heidelberg Imprint: Springer 1 recurso en línea 1 recurso en línea XVIII, 209 p. 33 illus XVIII, 209 p. 33 illus Texto (visual) isbdcontent electrónico isbdmedia Lecture Notes in Economics and Mathematical Systems 0075-8442 666 Springer eBooks 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 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 Modo de acceso: World Wide Web Mathematics Applied mathematics Engineering mathematics Economics, Mathematical Numerical analysis Quantitative Finance Applications of Mathematics Numerical Analysis Libros electrónicos Recursos electrónicos SpringerLink (Online service) Lecture Notes in Economics and Mathematical Systems 0075-8442 666