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Del 666 - Lecture Notes in Economics and Mathematical Systems
Interest Rate Derivatives
Valuation, Calibration and Sensitivity Analysis
Häftad, Engelska, 2013
534 kr
Skickas inom 10-15 vardagar
The class of interest rate models introduced by O. This book addresses the above mentioned class of interest rate models and concentrates on the calibration, valuation and sensitivity analysis in multifactor models. Finally it focuses on the sensitivity analysis of Cheyette models and derives Model- and Market Greeks.