000			02118cam a2200313 a 4500
008			030725s2002 njua b 001 0 eng d
020			_a0691089736
020			_a9780691089737
040			_aUKM _cUKM
050	0	0	_aHG6024.5 _b.R433 2002
082	0	0	_a332.6323 _bREB
100	1		_aRebonato, Riccardo.
245	1	0	_aModern pricing of interest-rate derivatives : _bthe LIBOR market model and beyond /
260			_aPrinceton, N.J. : _bPrinceton University Press, _cc2002.
300			_axvii, 467 p. :ill,
500			_aIncludes index.
504			_aIncludes bibliographical references (p. 445-452).
520			_aIn 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			_arpm 08/09/2016
591			_aLoan
650		0	_aInterest rate futures.
650		0	_aDerivative securities .
650		0	_aLIBOR market model.
856	4	1	_uhttp://www.loc.gov/catdir/samples/prin031/2003273032.html
856	4	2	_uhttp://www.loc.gov/catdir/description/prin031/2003273032.html
856	4	1	_uhttp://www.loc.gov/catdir/toc/prin032/2003273032.html
942			_2ddc _cBOOK
949			_a332.6323 REB
999			_c4805 _d4805