Ingo Beyna: 1 book
Interest Rate Derivatives
Valuation, Calibration and Sensitivity Analysis
Language: English
Release Date: February 20, 2013
The class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis...
