Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis /
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 analy...
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| Format: | Electronic |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2013.
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| Series: | Lecture Notes in Economics and Mathematical Systems,
666 |
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-34925-6 |