Interest Rate Derivatives : Valuation, Calibration and Sensitivity Analysis

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Interest Rate Derivatives : Valuation, Calibration and Sensitivity Analysis

種類:

電子ブック

責任表示:

by Ingo Beyna

出版情報:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013

著者名:

シリーズ名:

Lecture Notes in Economics and Mathematical Systems ; 666

ISBN:

9783642349256 [3642349250]

ローカル注記:

学内専用E-BOOKS (local access only)

オンライン

http://dx.doi.org/10.1007/978-3-642-34925-6

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子書誌情報

タイトルが類似している資料

詳細

主題:

Applications of Mathematics; Mathematics; Numerical Analysis; Quantitative Finance

分類・件名:

DC23 : 519
LCSH : Mathematics
LCSH : Finance
LCSH : Numerical analysis
FREE : Mathematics
FREE : Quantitative Finance
FREE : Applications of Mathematics
FREE : Numerical Analysis

形態:

XVIII, 209 p. 33 illus : digital

目次情報:

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

Preface
1.Literature Review
2.The Cheyette Model Class
3.Analytical Pricing Formulas
4.Calibration
5.Monte Carlo Methods

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書誌ID:

KB00010252

内容紹介

目次情報

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