Interest Rate Derivatives

Beyna studied mathematics at the University of Freiburg i. Br., Germany, with a focus on applied mathematics. He started his PhD at the Frankfurt School in 2007 and worked as a consultant for Ernst & Young in the financial sector. He carried out parts of his research as a visiting fellow at the University of Technology, Sydney, Australia.

• 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.​