Library Catalog
Amazon cover image
Image from Amazon.com

Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond / Riccardo Rebonato.

By: Material type: TextTextPublisher: Princeton, NJ : Princeton University Press, [2012]Copyright date: ©2003Edition: Course BookDescription: 1 online resource (488 p.) : 148 line illus. 41 tablesContent type:
Media type:
Carrier type:
ISBN:
  • 9780691089737
  • 9781400829323
Subject(s): DDC classification:
  • 332.6323 21
LOC classification:
  • HG6024.5 .R433 2002
Other classification:
  • online - DeGruyter
Online resources: Available additional physical forms:
  • Issued also in print.
Contents:
Frontmatter -- Contents -- Introduction -- Acknowledgements -- Part I. The Structure of the LIBOR Market Model -- Part II. The Inputs to the General Framework -- Part III. Calibration of the LIBOR Market Model -- Part IV. Beyond the Standard Approach: Accounting for Smiles -- Bibliography -- Index
Summary: In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400829323

Frontmatter -- Contents -- Introduction -- Acknowledgements -- Part I. The Structure of the LIBOR Market Model -- Part II. The Inputs to the General Framework -- Part III. Calibration of the LIBOR Market Model -- Part IV. Beyond the Standard Approach: Accounting for Smiles -- Bibliography -- Index

restricted access online access with authorization star

http://purl.org/coar/access_right/c_16ec

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

Issued also in print.

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)