Interest Rate Derivatives

Ingo Beyna ()
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Ingo Beyna: Frankfurt School

in Lecture Notes in Economics and Mathematical Systems from Springer, currently edited by Gunter Fandel and Walter Trockel

Date: 2013
Edition: 2013
ISBN: 978-3-642-34925-6
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Citations: View citations in EconPapers (2)

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Chapters in this book:

Ch Chapter 1 Literature Review

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Ch Chapter 10 Conclusion

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Ch Chapter 2 The Cheyette Model Class

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Ch Chapter 3 Analytical Pricing Formulas

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Ch Chapter 4 Calibration

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Ch Chapter 5 Monte Carlo Methods

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Ch Chapter 6 Characteristic Function Method

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Ch Chapter 7 PDE Valuation

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Ch Chapter 8 Comparison of Valuation Techniques for Interest Rate Derivatives

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Ch Chapter 9 Greeks

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

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