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Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility

Ingo Beyna, Carl Chiarella and Boda Kang
Year of publication:
2012
Authors: Beyna, Ingo ; Chiarella, Carl ; Kang, Boda
Publisher: Sydney : Quantitative Finance Research Centre, Univ. of Techn.
Subject: Cheyette Model | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory
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