Logotipo librería Marcial Pons
Modern pricing of interest-rate derivatives

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

  • ISBN: 9780691089737
  • Editorial: Princeton University Press
  • Lugar de la edición: Princeton. None
  • Encuadernación: Cartoné
  • Medidas: 24 cm
  • Nº Pág.: 467
  • Idiomas: Inglés

Papel: Cartoné
92,75 €
Sin Stock. Envío en 3/4 semanas.

Resumen

Descripción: In recent years, interest-rate modelling 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 programmes have often developed with little constructive interference. In this book, Ricardo 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

Resumen

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