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Anglický jazyk
Interest Rate Derivatives
Autor: Henry Obeng Tawiah
The Heath-Jarrow-Morton is used for modelling fixed income markets and has closed form solutions for specific volatilities. The known methods are different such that the approximation of the integral arbitrage-free drift is constructed using Euler-type approach... Viac o knihe
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O knihe
The Heath-Jarrow-Morton is used for modelling fixed income markets and has closed form solutions for specific volatilities. The known methods are different such that the approximation of the integral arbitrage-free drift is constructed using Euler-type approach schemes discretization. A Java applet is developed to price a caplet using a different numerical approach based on a functional backward Kolmogorov equation with two proportional volatility models. Students pursuing financial engineering and interest rate derivative traders can use this book as a manual for pricing instruments, specifically ,caplets and floorlets.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2012
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9783659253447
