Interest Rate Derivatives Valuation, Calibration and Sensitivity Ana
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
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further volumes: http://www.springer.com/series/300
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Ingo Beyna
Interest Rate Derivatives Valuation, Calibration and Sensitivity Analysis
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Ingo Beyna Frankfurt School of Finance and Management Centre for Practical Quantitative Finance Frankfurt a. M. Germany
The book is a revised version of the dissertation at Frankfurt School of Finance & Management with the title “Valuation, Calibration and Sensitivity Analysis of Interest Rate Derivatives in a Multifactor HJM Model with Time Dependent Volatility” ISSN 0075-8442 ISBN 978-3-642-34924-9 ISBN 978-3-642-34925-6 (eBook) DOI 10.1007/978-3-642-34925-6 Springer Heidelberg New York Dordrecht London Library of Congress Control Number: 2012954942 MSC Codes: 91G30, 91G60 JEL classifications: C63,C61, C51, C c Springer-Verlag Berlin Heidelberg 2013 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To my parents
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Foreword
Ingo Beyna has been working in the area of interest rate derivatives modelling for a long time. His experience as a consultant motivated him to investigate several issues in more detail and conduct dedicated research in the area. These efforts resulted in his doctoral thesis: an overall analysis of the Cheyette model class, a subclass of HJM models with a separable parametric functiona
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