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Comparison of Valuation Techniques for Interest Rate Derivatives

In: Interest Rate Derivatives

Author

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  • Ingo Beyna

    (Centre for Practical Quantitative Finance)

Abstract

We summarize the features of all pricing methods concerning applicability, numerical tractability and accuracy. PDE valuation and Monte Carlo simulation can be used for plain-vanilla and exotic interest rate derivatives and yield reliable as well as adequate results in reasonable time. The assumptions within the characteristic function methodology limit its application to bonds and caplets only, and the values can be used for benchmarking and calibration.

Suggested Citation

  • Ingo Beyna, 2013. "Comparison of Valuation Techniques for Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, in: Interest Rate Derivatives, edition 127, chapter 0, pages 131-136, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-34925-6_8
    DOI: 10.1007/978-3-642-34925-6_8
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