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Interest rate swaps --- Foreign exchange futures

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Stock price forecasting --- Stock options --- Swaps (Finance) --- Interest rate swaps. --- Mathematical models. --- Mathematical models. --- Mathematical models.

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International finance --- Interest rate swaps. --- Dollar, American. --- swaps --- dollar --- Interest rates --- -Swaps (Finance) --- AA* / International - Internationaal --- 333.451.2 --- 333.830 --- Swap financing --- Derivative securities --- Finance --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Deviezen op termijn. --- Theorieën en algemeenheden over geldrente. --- Working papers --- Dollar, American --- Interest rate swaps --- American dollar --- Deviezen op termijn --- Theorieën en algemeenheden over geldrente --- Swaps (Finance) --- Money

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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.

Bond market. --- Bonds -- Prices -- Econometric models. --- Interest rates -- Mathematical models. --- Derivative securities --- Interest rates --- Interest rate futures --- Business & Economics --- Economic Theory --- Mathematical models --- Interest rate futures. --- Interest rate swaps. --- Futures, Interest rate --- Mathematics. --- Applied mathematics. --- Engineering mathematics. --- Economics, Mathematical. --- Numerical analysis. --- Quantitative Finance. --- Applications of Mathematics. --- Numerical Analysis. --- Swaps (Finance) --- Financial futures --- Finance. --- Mathematical analysis --- Math --- Science --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics --- Engineering --- Engineering analysis --- Methodology --- Social sciences --- Mathematics in Business, Economics and Finance.