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.
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Produktdetails
- ISBN: 978-3-330-82203-0
- EAN: 9783330822030
- Produktnummer: 37538685
- Verlag: ¿¿¿¿¿¿¿
- Sprache: Englisch
- Erscheinungsjahr: 2017
- Seitenangabe: 164 S.
- Masse: H22.0 cm x B15.0 cm x D1.0 cm 262 g
- Abbildungen: Paperback
- Gewicht: 262
Über den Autor
Zhou Hongjun, Ph.D, Lecturer. Department of Finance, School of Economics and Business Administration, Chongqing University, China.
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