 Trade In this Item for up to £30.00
Get an extra £5 when you trade in books worth £10 or more until June 30, 2012. Trade in Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond for an Amazon.co.uk gift card of up to £30.00, which you can then spend on millions of items across the site. Trade-in values may vary (terms apply). Find more products eligible for trade-in.
|
Frequently Bought Together
Product details
|
More About the Author
Product Description
Review
Product Description
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.
The set of techniques to price interest-rate derivatives that stemmed from the original work of Health, Jarrow and Morton (HJM) in the late 1980s (HJM 1989) are referred to in this book as the 'modern' or the 'LIBOR- market- models' approach. Read the first page
Concordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Suggested Tags from Similar Products(What's this?)Be the first one to add a relevant tag (keyword that's strongly related to this product)
|
Sell a Digital Version of This Book in the Kindle Store
What Other Items Do Customers Buy After Viewing This Item?
Customer Reviews
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
Being a physicist, it reminds me of Feynman's books which, although they cover the same material as many others, give you that extra valuable insight into how all that math actually relates to what happens in practice.
Worth every penny.
Listmania!
|
|
Look for similar items by category
- Books > Business, Finance & Law > Economics
- Books > Business, Finance & Law > Management
- Books > Business, Finance & Law > Professional Finance > Interest
- Books > Business, Finance & Law > Professional Finance > Investments & Securities > Bonds
- Books > Business, Finance & Law > Professional Finance > Investments & Securities > Futures
- Books > Science & Nature > Earth Sciences & Geography > Education > Higher Education
- Books > Science & Nature > Earth Sciences & Geography > Geography
Look for similar items by subject
Feedback
- Would you like to update product info or give feedback on images?
- I am the Author, and I want to comment on my book.
- I am the Publisher, and I want to comment on this book.
|
