東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Modern pricing of interest-rate deri...

Rebonato, Riccardo.

Linked to FindBook

Google Book

Amazon

博客來

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

Record Type:	Electronic resources : Monograph/item
Title/Author:	Modern pricing of interest-rate derivatives/ Riccardo Rebonato.
Reminder of title:	the LIBOR market model and beyond /
Author:	Rebonato, Riccardo.
Published:	Princeton University Press, : 2002.,
Description:	1 online resource (480 p.)
Subject:	Interest rate futures. -
Online resource:	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 /
LDR:02376cmm a2200265M 4500 001 1956225
003 OCoLC
005 20141031025713.0
006 m o d
007 cr un|---uuuuu
008 150126s2002 xx o 000 0 eng d
020 $a 9781400829323 (electronic bk.)
020 $a 1400829321 (electronic bk.)
020 $z 9780691089737
020 $z 1283379570
020 $z 9781283379571
035 $a (OCoLC)778618936 $z (OCoLC)816879821
035 $a ocn778618936
040 $a IDEBK $b eng $c IDEBK $d OCLCQ $d JSTOR $d OCLCF
050 4 $a HG6024 $b .R292 2012
082 0 4 $a 332.6323
100 1 $a Rebonato, Riccardo. $3 704646
245 0 0 $a Modern pricing of interest-rate derivatives $h [electronic resource] : $b the LIBOR market model and beyond / $c Riccardo Rebonato.
260 $b Princeton University Press, $c 2002.
300 $a 1 online resource (480 p.)
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.
650 0 $a Interest rate futures. $3 657827
650 0 $a Derivative securities. $3 656187
856 4 0 $u http://www.jstor.org/stable/10.2307/j.ctt7rpkk