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

By: Material type: TextTextPublication details: Princeton, N.J. : Princeton University Press, c2002.Description: xvii, 467 p. :illISBN:
  • 0691089736
  • 9780691089737
Subject(s): DDC classification:
  • 332.6323  REB
LOC classification:
  • HG6024.5 .R433 2002
Online resources: Summary: 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.
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Holdings
Item type Current library Collection Call number Copy number Status Date due Barcode
Monograph & others Monograph & others CBN ENUGU BRANCH LIBRARY General Stacks Non-fiction 332.6323 REB (Browse shelf(Opens below)) c. 1 Available 31008100635255
Monograph & others Monograph & others CBN HQ Library General Stacks Non-fiction 332.6323 REB (Browse shelf(Opens below)) c.1 Available 31008100090725
Monograph & others Monograph & others CBN HQ Library General Stacks Non-fiction 332.6323 REB (Browse shelf(Opens below)) c.2 Available 31008100090733
Monograph & others Monograph & others CBN HQ Library General Stacks Non-fiction 332.6323 REB (Browse shelf(Opens below)) c.3 Available 31008100090741
Monograph & others Monograph & others CBN LAGOS LAISON OFFICE LIBRARY General Stacks 332.6323 REB (Browse shelf(Opens below)) c. 2 Available 31008100693700
Monograph & others Monograph & others CBN LAGOS LAISON OFFICE LIBRARY General Stacks 332.6323 REB (Browse shelf(Opens below)) c. 1 Available 31008100697099
Monograph & others Monograph & others CBN LAGOS LEARNING CENTRE LIBRARY General Stacks Non-fiction 332.6323 REB (Browse shelf(Opens below)) Available 31008100708813

Includes index.

Includes bibliographical references (p. 445-452).

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.

rpm 08/09/2016

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