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Interest Rate Derivatives

Name: Interest Rate Derivatives
Brand: LAP Lambert Academic Publishing
SKU: 07116573
Price: 172.16 EUR
Availability: InStock
Author: Henry Obeng Tawiah
ISBN: 9783659253447

Pricing Interest Rate Caplets In A Two Factor Heath-Jarrow-Morton Model

Henry Obeng Tawiah

Peterson Owusu Junior

Language

English

Book Paperback

Libristo code: 07116573

Publishers LAP Lambert Academic Publishing, November 2011

The Heath Jarrow Morton is used for modelling fixed income markets and has closed form solutions for... Full description

Libristo code: 07116573

421 b

172.16 €

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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.