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

By:

Rebonato, Riccardo

Material type: Text

TextPublication 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	Barcode
Monograph & others	CBN ENUGU BRANCH LIBRARY General Stacks	Non-fiction	332.6323 REB (Browse shelf(Opens below))	c. 1	Available	31008100635255
Monograph & others	CBN HQ Library General Stacks	Non-fiction	332.6323 REB (Browse shelf(Opens below))	c.1	Available	31008100090725
Monograph & others	CBN HQ Library General Stacks	Non-fiction	332.6323 REB (Browse shelf(Opens below))	c.2	Available	31008100090733
Monograph & others	CBN HQ Library General Stacks	Non-fiction	332.6323 REB (Browse shelf(Opens below))	c.3	Available	31008100090741
Monograph & others	CBN LAGOS LAISON OFFICE LIBRARY General Stacks		332.6323 REB (Browse shelf(Opens below))	c. 2	Available	31008100693700
Monograph & others	CBN LAGOS LAISON OFFICE LIBRARY General Stacks		332.6323 REB (Browse shelf(Opens below))	c. 1	Available	31008100697099
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.