Interest Rate Derivatives
Pricing Interest Rate Caplets In A Two Factor Heath-Jarrow-Morton Model
978-3-659-25344-7
3659253448
60
2012-09-27
49.00 €
eng
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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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Matematik
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