Greeks

Ingo Beyna
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Ingo Beyna: Centre for Practical Quantitative Finance

Chapter Chapter 9 in Interest Rate Derivatives, 2013, pp 137-157 from Springer

Abstract: Abstract We derive closed-form expressions for Model- and Market-Greeks in the case of bonds and caplets. The risk sensitivities for European and Bermudan swaption are achieved numerically using Monte Carlo simulations and turn out to be smooth. The presented approach can be applied for all kinds of interest rate derivatives to compute Greeks in the class of Cheyette models.

Keywords: Partial Derivative; Forward Rate; Bond Price; Short Rate; Price Sensitivity (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-34925-6_9

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DOI: 10.1007/978-3-642-34925-6_9

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