Matches in SemOpenAlex for { <https://semopenalex.org/work/W2497245818> ?p ?o ?g. }
Showing items 1 to 64 of
64
with 100 items per page.
- W2497245818 endingPage "342" @default.
- W2497245818 startingPage "293" @default.
- W2497245818 abstract "The underlying of an interest rate derivative is that of the entire yield curve. The underlying stochastic processes are more complex as a result. Given the underlying complexity, it is not surprising that there exist many varieties of interest rate derivative models. The Heath-Jarrow-Morton modelling framework in its generic multi-factor form practically encompasses most of the interest rate derivative models. From this perspective, one can divide interest rate derivative models into low- and high-dimension categories, in addition to the short rate models. This chapter mainly focuses on four important interest rate derivative models, to gain good intuitions on their key features and characteristics. Each one of them can be representative of the respective model categories: Linear Gauss-Markov model, Libor market model, extended Cheyette model, and interest rate local volatility model." @default.
- W2497245818 created "2016-08-23" @default.
- W2497245818 creator A5021223057 @default.
- W2497245818 date "2016-02-02" @default.
- W2497245818 modified "2023-10-14" @default.
- W2497245818 title "Practical Interest Rate Derivative Models" @default.
- W2497245818 doi "https://doi.org/10.1002/9781119170433.ch12" @default.
- W2497245818 hasPublicationYear "2016" @default.
- W2497245818 type Work @default.
- W2497245818 sameAs 2497245818 @default.
- W2497245818 citedByCount "0" @default.
- W2497245818 crossrefType "other" @default.
- W2497245818 hasAuthorship W2497245818A5021223057 @default.
- W2497245818 hasConcept C106159729 @default.
- W2497245818 hasConcept C108018779 @default.
- W2497245818 hasConcept C111771559 @default.
- W2497245818 hasConcept C128029710 @default.
- W2497245818 hasConcept C149782125 @default.
- W2497245818 hasConcept C162324750 @default.
- W2497245818 hasConcept C175025494 @default.
- W2497245818 hasConcept C176230804 @default.
- W2497245818 hasConcept C187614132 @default.
- W2497245818 hasConcept C19736811 @default.
- W2497245818 hasConcept C33923547 @default.
- W2497245818 hasConcept C556758197 @default.
- W2497245818 hasConcept C85393063 @default.
- W2497245818 hasConcept C91602232 @default.
- W2497245818 hasConcept C93246554 @default.
- W2497245818 hasConcept C99560960 @default.
- W2497245818 hasConceptScore W2497245818C106159729 @default.
- W2497245818 hasConceptScore W2497245818C108018779 @default.
- W2497245818 hasConceptScore W2497245818C111771559 @default.
- W2497245818 hasConceptScore W2497245818C128029710 @default.
- W2497245818 hasConceptScore W2497245818C149782125 @default.
- W2497245818 hasConceptScore W2497245818C162324750 @default.
- W2497245818 hasConceptScore W2497245818C175025494 @default.
- W2497245818 hasConceptScore W2497245818C176230804 @default.
- W2497245818 hasConceptScore W2497245818C187614132 @default.
- W2497245818 hasConceptScore W2497245818C19736811 @default.
- W2497245818 hasConceptScore W2497245818C33923547 @default.
- W2497245818 hasConceptScore W2497245818C556758197 @default.
- W2497245818 hasConceptScore W2497245818C85393063 @default.
- W2497245818 hasConceptScore W2497245818C91602232 @default.
- W2497245818 hasConceptScore W2497245818C93246554 @default.
- W2497245818 hasConceptScore W2497245818C99560960 @default.
- W2497245818 hasLocation W24972458181 @default.
- W2497245818 hasOpenAccess W2497245818 @default.
- W2497245818 hasPrimaryLocation W24972458181 @default.
- W2497245818 hasRelatedWork W1129033866 @default.
- W2497245818 hasRelatedWork W1551896853 @default.
- W2497245818 hasRelatedWork W1566194356 @default.
- W2497245818 hasRelatedWork W1588933338 @default.
- W2497245818 hasRelatedWork W2122735130 @default.
- W2497245818 hasRelatedWork W2235334600 @default.
- W2497245818 hasRelatedWork W2297487609 @default.
- W2497245818 hasRelatedWork W3125423182 @default.
- W2497245818 hasRelatedWork W4210648231 @default.
- W2497245818 hasRelatedWork W591131242 @default.
- W2497245818 isParatext "false" @default.
- W2497245818 isRetracted "false" @default.
- W2497245818 magId "2497245818" @default.
- W2497245818 workType "other" @default.