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Modern pricing of interest-rate deri...

Rebonato, Riccardo.

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Modern pricing of interest-rate derivatives = the LIBOR market model and beyond /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Modern pricing of interest-rate derivatives/ Riccardo Rebonato.
其他題名:	the LIBOR market model and beyond /
作者:	Rebonato, Riccardo.
出版者:	Princeton University Press, : 2002.,
面頁冊數:	1 online resource (480 p.)
標題:	Interest rate futures. -
電子資源:	http://www.jstor.org/stable/10.2307/j.ctt7rpkk
ISBN:	9781400829323 (electronic bk.)

Modern pricing of interest-rate derivatives = the LIBOR market model and beyond /
Rebonato, Riccardo.

Modern pricing of interest-rate derivativesthe LIBOR market model and beyond /[electronic resource] :Riccardo Rebonato. - Princeton University Press,2002. - 1 online resource (480 p.)

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.

ISBN: 9781400829323 (electronic bk.)Subjects--Topical Terms:

657827
Interest rate futures.

LC Class. No.: HG6024 / .R292 2012

Dewey Class. No.: 332.6323

Modern pricing of interest-rate derivatives = the LIBOR market model and beyond /
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520 $a 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.
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