TY - BOOK ID - 14307555 TI - Interest rate derivatives : valuation, calibration and sensitivity analysis PY - 2012 VL - 666 SN - 00758442 SN - 3642349242 3642349250 1299337554 PB - New York : Springer, DB - UniCat KW - Bond market. KW - Bonds -- Prices -- Econometric models. KW - Interest rates -- Mathematical models. KW - Derivative securities KW - Interest rates KW - Interest rate futures KW - Business & Economics KW - Economic Theory KW - Mathematical models KW - Interest rate futures. KW - Interest rate swaps. KW - Futures, Interest rate KW - Mathematics. KW - Applied mathematics. KW - Engineering mathematics. KW - Economics, Mathematical. KW - Numerical analysis. KW - Quantitative Finance. KW - Applications of Mathematics. KW - Numerical Analysis. KW - Swaps (Finance) KW - Financial futures KW - Finance. KW - Mathematical analysis KW - Math KW - Science KW - Funding KW - Funds KW - Economics KW - Currency question KW - Economics, Mathematical . KW - Mathematical economics KW - Econometrics KW - Mathematics KW - Engineering KW - Engineering analysis KW - Methodology KW - Social sciences KW - Mathematics in Business, Economics and Finance. UR - https://www.unicat.be/uniCat?func=search&query=sysid:14307555 AB - 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 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. ER -