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Interest rate derivatives : valuation, calibration and sensitivity analysis / / Ingo Beyna
| Interest rate derivatives : valuation, calibration and sensitivity analysis / / Ingo Beyna |
| Autore | Beyna Ingo |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2012 |
| Descrizione fisica | 1 online resource (219 p.) |
| Disciplina | 332.63234 |
| Collana | Lecture notes in economics and mathematical systems |
| Soggetto topico |
Interest rate futures
Interest rate swaps |
| ISBN |
1-299-33755-4
3-642-34925-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- 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. |
| Record Nr. | UNINA-9910736976603321 |
Beyna Ingo
|
||
| New York, : Springer, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
| Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr |
| Autore | Sadr Amir <1963-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina |
332.6
332.6323 332.645 |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rate swaps
Interest rate futures Derivative securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-36914-8
9786612369148 1-118-26796-6 0-470-52608-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World
Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK BGM RESULTNotes; Index |
| Record Nr. | UNINA-9910139779403321 |
|
Sadr Amir <1963->
|
||
| Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
| Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr |
| Autore | Sadr Amir <1963-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina |
332.6
332.6323 332.645 |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rate swaps
Interest rate futures Derivative securities |
| ISBN |
1-282-36914-8
9786612369148 1-118-26796-6 0-470-52608-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World
Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK BGM RESULTNotes; Index |
| Record Nr. | UNINA-9910830385703321 |
|
Sadr Amir <1963->
|
||
| Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate swaps and their derivatives : a practitioner's guide / / Amir Sadr
| Interest rate swaps and their derivatives : a practitioner's guide / / Amir Sadr |
| Autore | Sadr Amir <1963-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina |
332.6
332.6323 332.645 |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rate swaps
Interest rate futures Derivative securities |
| ISBN |
9786612369148
9781282369146 1282369148 9781118267967 1118267966 9780470526088 0470526084 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World
Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK BGM RESULTNotes; Index |
| Record Nr. | UNINA-9911019676803321 |
|
Sadr Amir <1963->
|
||
| Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
