Interest Rate Derivatives
Monte Carlo method
Interest rates
Derivative securities
Applications of Mathematics
Differential equations, partial
Numerical analysis
Mathematical models
Finance
Mathematics
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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