Beyna, Ingo
Interest Rate Derivatives
1. Literature Review
Ingo Beyna
2. The Cheyette Model Class
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3. Analytical Pricing Formulas
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4. Calibration
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5. Monte Carlo Methods
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6. Characteristic Function Method
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7. PDE Valuation
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8. Comparison of Valuation Techniques for Interest Rate Derivatives
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9. Greeks
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10. Conclusion
Ingo Beyna
Keywords: Mathematics, Quantitative Finance, Applications of Mathematics, Numerical Analysis
- Author(s)
- Beyna, Ingo
- Publisher
- Springer
- Publication year
- 2013
- Language
- en
- Edition
- 2013
- Series
- Lecture Notes in Economics and Mathematical Systems
- Page amount
- 18 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783642349256