LEADER 01298nam0 2200301 450 001 000024001 005 20081218093905.0 100 $a20081217d1904----km-y0itaa50------ba 101 0 $aeng 102 $aUS 200 1 $aThackeray in the united states$e1852-3,1855-6$eincluding a record of a variety of thackerayana$fby James Grant Wilson$gwith six score illustrations and a bibliography by Frederick S. Dickson 210 $aNew York$cDodd,Mead and Company$d1904 215 $avol.$d25 cm. 327 1 $avol.1.: XVIII, 327 p., ill.$avol.2.: X, 403 p., ill. 606 1 $aThackeray William 676 $a820$v(21. ed.)$9Letteratura inglese 700 1$aWilson,$bJames Grant$0444305 702 1$aDickson,$bFrederick 801 0$aIT$bUniversitą della Basilicata - B.I.A.$gRICA$2unimarc 912 $a000024001 996 $aThackeray in the united states$991534 997 $aUNIBAS BAS $aLETTERE CAT $aSTD070$b01$c20081217$lBAS01$h1719 CAT $aSTD070$b01$c20081218$lBAS01$h0939 FMT Z30 -1$lBAS01$LBAS01$mBOOK$1BASA1$APolo Storico-Umanistico$2FAA$BFondo anglo-americano$63202$5L3202$820081217$f04$FPrestabile Didattica Z30 -1$lBAS01$LBAS01$mBOOK$1BASA1$APolo Storico-Umanistico$2FAA$BFondo anglo-americano$63203$5L3203$820081218$f04$FPrestabile Didattica LEADER 03543nam 2200589 a 450 001 9910736976603321 005 20200520144314.0 010 $a1-299-33755-4 010 $a3-642-34925-0 024 7 $a10.1007/978-3-642-34925-6 035 $a(CKB)2670000000337166 035 $a(EBL)1082856 035 $a(OCoLC)828794578 035 $a(SSID)ssj0000879124 035 $a(PQKBManifestationID)11455599 035 $a(PQKBTitleCode)TC0000879124 035 $a(PQKBWorkID)10837685 035 $a(PQKB)11459628 035 $a(DE-He213)978-3-642-34925-6 035 $a(MiAaPQ)EBC1082856 035 $a(PPN)168327740 035 $a(EXLCZ)992670000000337166 100 $a20121130d2012 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aInterest rate derivatives $evaluation, calibration and sensitivity analysis /$fIngo Beyna 205 $a1st ed. 2013. 210 $aNew York $cSpringer$d2012 215 $a1 online resource (219 p.) 225 0$aLecture notes in economics and mathematical systems,$x0075-8442 ;$v666 300 $aDescription based upon print version of record. 311 $a3-642-34924-2 320 $aIncludes bibliographical references and index. 327 $aPreface -- 1.Literature Review -- 2.The Cheyette Model Class -- 3.Analytical Pricing Formulas -- 4.Calibration -- 5.Monte Carlo Methods -- 6.Characteristic Function Method -- 7.PDE Valuation -- 8.Comparison of Valuation Techniques for Interest Rate Derivatives -- 9.Greeks -- 10.Conclusion.-Appendices: A.Additional Calculus in the Class of Cheyette Models -- B.Mathematical Tools -- C.Market Data -- References -- Index. 330 $aThe class of interest rate models introduced by O. Cheyette in 1994 is a subclass of the general HJM framework with a time dependent volatility parameterization. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. It derives analytical pricing formulas for bonds and caplets and applies several numerical valuation techniques in the class of Cheyette model, i.e. Monte Carlo simulation, characteristic functions and PDE valuation based on sparse grids. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks. To the best of our knowledge, this sensitivity analysis of interest rate derivatives in the class of Cheyette models is unique in the literature. Up to now the valuation of interest rate derivatives using PDEs has been restricted to 3 dimensions only, since the computational effort was too great. The author picks up the sparse grid technique, adjusts it slightly and can solve high-dimensional PDEs (four dimensions plus time) accurately in reasonable time. Many topics investigated in this book  are new areas of research and make a significant contribution to the scientific community of financial engineers. They also represent a valuable development for practitioners. 410 0$aLecture Notes in Economics and Mathematical Systems,$x2196-9957 606 $aInterest rate futures 606 $aInterest rate swaps 615 0$aInterest rate futures. 615 0$aInterest rate swaps. 676 $a332.63234 700 $aBeyna$b Ingo$01381832 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910736976603321 996 $aInterest Rate Derivatives$93424700 997 $aUNINA LEADER 00931nam--2200277---450 001 9911005395803321 005 20250611124510.0 100 $a20250609d1875----km-y0itay50------ba 101 0 $ager 102 $aDE 105 $aaf------001yy 200 1 $a<>Krystalliten$fvon Hermann Vogelsang$gnach dem Tode des Verfassers herausgegeben von Ferdinand Zirkel 210 $aBonn$cVerlag von Max Cohen & Sohn$d1875 215 $a175 p., XVI c. di tav.$cill.$d24 cm 610 0 $aCristallografia 676 $a548$v23$zita 700 1$aVogelsang,$bHermann$0794416 702 1$aZirkel,$bFerdinand 801 0$aIT$bUNINA$gREICAT$2UNIMARC 856 4 $zVisualizza la versione elettronica in EROMM$uhttps://babel.hathitrust.org/cgi/pt?id=nyp.33433090768643&seq=17$e20250906 901 $aBK 912 $a9911005395803321 952 $aM 1 V 43$b25644$fNAP14 959 $aNAP14 996 $aKrystalliten$94393205 997 $aUNINA