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Interest Rate Derivatives
Pricing Interest Rate Caplets In A Two Factor Heath-Jarrow-Morton Model
Language
English
English
Book
Paperback
The Heath Jarrow Morton is used for modelling fixed income markets and has closed form solutions for...
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Libristo code: 07116573
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106 b
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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.
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About the book
Full name
Interest Rate Derivatives
Language
English
English
Binding
Book - Paperback
Date of issue
2012
Number of pages
60
EAN
9783659253447
Libristo code
07116573
Publishers
LAP Lambert Academic Publishing
Weight
106
Dimensions
150 x 220 x 4
Categories
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