Overview
- Presents sensitivity analysis of interest rate derivatives in the class of Cheyette models that is unique in the literature
- Uses sparse grid technique, adjusts it slightly and can solve high-dimensional PDEs
- Addressed to financial engineers and practitioners?
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE)
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Table of contents (10 chapters)
Keywords
About this book
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Interest Rate Derivatives
Book Subtitle: Valuation, Calibration and Sensitivity Analysis
Authors: Ingo Beyna
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/978-3-642-34925-6
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2013
Softcover ISBN: 978-3-642-34924-9Published: 08 March 2013
eBook ISBN: 978-3-642-34925-6Published: 20 February 2013
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: XVIII, 209
Number of Illustrations: 33 b/w illustrations
Topics: Quantitative Finance, Applications of Mathematics, Numerical Analysis