000			02784nam a2200277 a 4500
001			CBN000000145
003			OSt
005			20151118205121.0
008			020813s2009 enka 001 0 eng d
020			_a9781906348137
040			_aCBNCAT
082			_a332.801'5195 _222
245	1	0	_aModelling interest rates: _badvances in derivatives pricing / _cedited by Fabio Mercurio.
260			_aLondon: _bRisk Books, _cc2009.
300			_axxv, 283 p.: _bill.; _c24 cm.
505			_aIncludes bibliographical references and index.
505			_aPART 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			_a"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			_alje 11/9/13
590			_aLoans
650		0	_aLIBOR market model.
650			_aInterest rates -- Mathematical models.
650			_aDerivative securities.
700			_aMercurio, Fabio
942			_2ddc _cBOOK
999			_c700 _d700