Robust Libor modelling and pricing of derivative products

• Tác giả: John Schoenmakers
• Ngôn ngữ: eng
• ISBN-10: 0203499093
• ISBN-10: 1135436703
• ISBN-10: 1135436746
• ISBN-10: 1135436754
• ISBN-10: 158488441X
• ISBN-10: 6610314640
• ISBN-13: 978-0203499092
• ISBN-13: 978-1135436704
• ISBN-13: 978-1135436742
• ISBN-13: 978-1135436759
• ISBN-13: 978-1584884415
• ISBN-13: 978-6610314645
• Ký hiệu phân loại: 332.64570151 Investment
• Thông tin xuất bản: Boca Raton, FL : Chapman & Hall/CRC, 2005.
• Mô tả vật lý: 1 online resource (xvi, 202 pages) : , illustrations.
• Bộ sưu tập: Tham khảo
• ID: 275009
• Chủ đề: 1. Derivative securities--Prices; 2. Interest rate futures--Mathematical models; 3. Interest rates--Mathematical models

Includes bibliographical references (pages 193-198) and index.

Tóm tắt

ARBITRAGE-FREE MODELLING OF EFFECTIVE INTEREST RATESElements of Arbitrage Theory and Derivative Pricing Modelling of Effective Forward RatesPricing of Caps and Swaptions in Libor and Swap Market ModelsPARAMETRISATION OF THE LIBOR MARKET MODELGeneral Volatility Structures(Quasi) Time-Shift Homogeneous ModelsParametrisation of Correlation StructuresSome Possible Applications of Parametric StructuresIMPLIED CALIBRATION OF A LIBOR MARKET MODEL TO CAPS AND SWAPTIONSOrientation and General AspectsAssessment of the Calibration Problem LSq Calibration and Stability Issues in PracticeRegularisation via.