MARC details
| 000 -LEADER |
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| fixed length control field |
02118cam a2200313 a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
030725s2002 njua b 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
0691089736 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780691089737 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
UKM |
| Transcribing agency |
UKM |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG6024.5 |
| Item number |
.R433 2002 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.6323 |
| Item number |
REB |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rebonato, Riccardo. |
| 245 10 - TITLE STATEMENT |
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| Title |
Modern pricing of interest-rate derivatives : |
| Remainder of title |
the LIBOR market model and beyond / |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Princeton, N.J. : |
| Name of publisher, distributor, etc |
Princeton University Press, |
| Date of publication, distribution, etc |
c2002. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xvii, 467 p. :ill, |
| 500 ## - GENERAL NOTE |
|---|
| General note |
Includes index. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references (p. 445-452). |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
In this book, the author 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. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance. |
| 590 ## - Local Notes: Cataloguer & Date |
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| Local note |
rpm 08/09/2016 |
| 591 ## - Local Note: Item Class (Ref/Loans/Arch): Loans |
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| Local Note: Item Class |
Loan |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Interest rate futures. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Derivative securities . |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
LIBOR market model. |
| 856 41 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
http://www.loc.gov/catdir/samples/prin031/2003273032.html |
| 856 42 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://www.loc.gov/catdir/description/prin031/2003273032.html |
| 856 41 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://www.loc.gov/catdir/toc/prin032/2003273032.html |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Monograph & others |
| 949 ## - LOCAL PROCESSING INFORMATION (Call No. /Shelf Ref) |
|---|
| Call No. /Shelf Ref |
332.6323 REB |
