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Beschreibung
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.
Details
| Verlag | ¿¿¿¿¿¿¿ |
| Ersterscheinung | 01. März 2017 |
| Maße | 22 cm x 15 cm x 1.1 cm |
| Gewicht | 262 Gramm |
| Format | Softcover |
| ISBN-13 | 9783330822030 |
| Seiten | 164 |
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