Central Bank of Nigeria Library

Modelling interest rates: (Record no. 700)

MARC details
000 -LEADER
fixed length control field 02784nam a2200277 a 4500
001 - CONTROL NUMBER
control field CBN000000145
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20151118205121.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 020813s2009 enka 001 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781906348137
040 ## - CATALOGING SOURCE
Original cataloging agency CBNCAT
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.801'5195
Edition number 22
245 10 - TITLE STATEMENT
Title Modelling interest rates:
Remainder of title advances in derivatives pricing /
Statement of responsibility, etc. edited by Fabio Mercurio.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc. London:
Name of publisher, distributor, etc. Risk Books,
Date of publication, distribution, etc. c2009.
300 ## - PHYSICAL DESCRIPTION
Extent xxv, 283 p.:
Other physical details ill.;
Dimensions 24 cm.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note Includes bibliographical references and index.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note PART I MULTI-CURVE MODELLING 1 Bootstrapping the Illiquidity Ferdinando M. Ametrano; Marco Bianchetti Banca IMI; Banca IntesaSanpaolo 2 Yield Spread Options under the DLG Model Masaaki Kijima, Keiichi Tanaka; Tony Wong Tokyo Metropolitan University; Mizuho Securities Co Ltd PART II NEW ADVANCES ON LIBOR MARKET MODELS 3 Nonparametric Calibration of Forward Rate Models Dariusz Gatarek National Bank of Poland and Systems Research Institute PAS 4 On the Calibration of the Market Model with a Square-Root Volatility Process Lixin Wu The Hong Kong University of Science and Technology 5 No-Arbitrage Dynamics and Formulas for a Tractable SABR Term-Structure Model Fabio Mercurio; Massimo Morini Bloomberg; Banca IMI 6 The Longstaff-Schwartz Algorithm and Effective Model Dimensionality Phil Hunt; Joanne Kennedy Citigroup; University of Warwick PART III HEDGING ISSUES 7 Dynamics Misspecification in Local-Stochastic Volatility Models Giuseppe Di Graziano; Stefano Galluccio Deutsche Bank; BNP Paribas 8 A Note on Hedging with Local and Stochastic Volatility Models Fabio Mercurio; Massimo Morini Bloomberg; Banca IMI PART IV THE PRICING OF SPECIFIC CONTRACTS 9 Libor Volatility Derivatives Nicolas Merener Universidad Torcuato Di Tella 10 Smile-Consistent CMS Adjustments in Closed Form Antonio Castagna, Fabio Mercurio and Marco Tarenghi Banca IMI 11 Cap Pricing in Term-Structure Models with Stochastic Volatility Ali Hirsa, Li Bao; Dilip B. Madan Caspian Capital Management, LLC; University of Maryland.
520 ## - SUMMARY, ETC.
Summary, etc. "Modelling Interest Rates" is an aid to researchers who aim to get acquainted with the new trends in the interest rate models and to practitioners with a need to use increasingly sophisticated tools to price exotic claims consistently with the information on the underlying variables that is provided by the market in terms of plain vanilla quotes. It also examines Interest rate modellers; Risk managers; Risk modellers; Interest rate analysts; Derivatives traders; and, Pricing managers.
590 ## - LOCAL NOTE - Cataloguer & Date
Local note lje 11/9/13
590 ## - LOCAL NOTE - Cataloguer & Date
Local note Loans
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element LIBOR market model.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Interest rates -- Mathematical models.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Derivative securities.
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Mercurio, Fabio
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme Dewey Decimal Classification
Koha item type Monograph & others
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Home library Current library Date acquired Total Checkouts Total Holds Full call number Barcode Date last seen Bill Date Koha item type Collection code Shelving location Copy number
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