Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis
(Bog, Paperback / softback, Engelsk)
- Type: Bog
- Format: Paperback / softback
-
Sprog:
Engelsk
- ISBN-13: 9783642349249
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Beskrivelse
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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| Forlag | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| Forfatter | Ingo Beyna |
| Type | Bog |
| Format | Paperback / softback |
| Sprog | Engelsk |
| Udgave | 2013 ed. |
| Udgivelsesdato | 08-03-2013 |
| Første udgivelsesår | 2013 |
| Serie | Lecture Notes in Economics and Mathematical Systems |
| Illustrationer | 33 Illustrations, black and white |
| Originalsprog | Germany |
| Sideantal | 209 |
| Indbinding | Paperback / softback |
| Forlag | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| Sideoplysninger | 209 pages, 33 Illustrations, black and white |
| Mål | 235 x 157 x 13 |
| ISBN-13 / EAN-13 | 9783642349249 |