Titlebook: Interest Rate Derivatives; Valuation, Calibrati Ingo Beyna Book 2013 Springer-Verlag Berlin Heidelberg 2013 91G30, 91G60.Cheyette model.int

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Monte Carlo Methods,e efficiency can even be improved by using Quasi-Monte Carlo simulations. The pricing method is verified numerically for plain-vanilla and exotic interest rate derivatives in the Three Factor Exponential Model.

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Comparison of Valuation Techniques for Interest Rate Derivatives,on can be used for plain-vanilla and exotic interest rate derivatives and yield reliable as well as adequate results in reasonable time. The assumptions within the characteristic function methodology limit its application to bonds and caplets only, and the values can be used for benchmarking and cal

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