Interest rate derivatives. Valuation, calibration and sensitivity analysis (Q690694)

This book deals with the pricing and hedging of interest rate derivatives in a class of multifactor Gaussian Heath-Jarrow-Morton models proposed by [Cheyette, Working Paper, (1994)]. In this setting, the author details the valuation of bonds, caplets/floorlets, and more exotic contracts using a variety of methods, ranging from analytical formulas, Fourier-Laplace methods, finite difference schemes, to Monte-Carlo simulation. He also discusses how to calibrate the models to quoted market prices. Finally, the author describes how to compute various sensitivities, the so-called ``Greeks'', and how to use these for hedging the interest rate derivatives under consideration.