Numerical Methods for Interest Rate Derivatives
- Editore:
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- EAN:
9783330822030
- ISBN:
3330822031
- Pagine:
- 164
- Formato:
- Paperback
- Lingua:
- Tedesco
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Descrizione Numerical Methods for Interest Rate Derivatives
In this research, we study numerical methods for interest rate derivatives under several models. We consider pricing American put options on zero-coupon bonds under a single factor model of short-term rate, and valuing caps under Lognormal Forward-LIBOR Model (LFM). Monte Carlo method and a novel PDE method are illustrated for pricing caps under one-factor and two-factor LFM. Also, the performance of different models for pricing interest rate derivatives is compared.
Fuori catalogo - Non ordinabile
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