Interest rate derivatives. Valuation, calibration and sensitivity analysis

DOI10.1007/978-3-642-34925-6zbMath1264.91127OpenAlexW2486672630MaRDI QIDQ690694

Ingo Beyna

Publication date: 28 November 2012

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-34925-6

zbMATH Keywords

Heath-Jarrow-Morton modelinterest rate derivativesCheyette model

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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