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Analytical Pricing Formulas

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Interest Rate Derivatives

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 666))

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Abstract

We derive analytical pricing formulas in a multifactor Cheyette model for bonds and caplets/floorlets. Further, we specify these formulas in particular one- and multifactor models. Finally, we quote semi-explicit pricing formulas for European swaptions in one-factor models.

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Authors and Affiliations

  1. Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance, Frankfurt a. M., Germany

    Ingo Beyna

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  1. Ingo Beyna
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Beyna, I. (2013). Analytical Pricing Formulas. In: Interest Rate Derivatives. Lecture Notes in Economics and Mathematical Systems, vol 666. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-34925-6_3

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