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Author Beyna, Ingo.
Title Interest rate derivatives [electronic resource] : valuation, calibration and sensitivity analysis / Ingo Beyna.
Publication Info. Berlin ; New York : Springer, c2013.
Location Call No. Status Notes
 Libraries Electronic Books  ELECTRONIC BOOKS-DDA    AVAIL. ONLINE
Description 1 online resource.
Series Lecture notes in economics and mathematical systems ; 666.
Contents Literature Review -- The Cheyette Model Class -- Analytical Pricing Formulas -- Calibration -- Monte Carlo Methods -- Characteristic Function Method -- PDE Valuation -- Comparison of valuation techniques for interest rate derivatives -- Greeks -- Conclusion.
Bibliography Includes bibliographical references and index.
Reproduction Electronic reproduction. Perth, W.A. Available via World Wide Web.
Note Description based upon print version of record.
Subject Interest rates -- Mathematical models.
Added Author Ebooks Corporation
Related To Print version: Beyna, Ingo Interest Rate Derivatives : Valuation, Calibration and Sensitivity Analysis Dordrecht : Springer,c2012 9783642349249
ISBN 9783642349256 (electronic bk.)
3642349250 (electronic bk.)
9783642349249
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