LIBROS DEL AUTOR: ingo beyna

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  • Interest Rate Derivatives
    Ingo Beyna
    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 ...
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