rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Robust Libor modelling and pricing of derivative products
  name:
    name part: Schoenmakers, John.
    role:
      role term: creator
  name:
    name part: Taylor & Francis
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: flu
    place:
      place term: Boca Raton, FL
    publisher: Chapman & Hall/CRC
    date issued: 2005
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xvi, 202 pages) : illustrations
  abstract: ARBITRAGE-FREE MODELLING OF EFFECTIVE INTEREST RATESElements of Arbitrage Theory and Derivative Pricing Modelling of Effective Forward RatesPricing of Caps and Swaptions in Libor and Swap Market ModelsPARAMETRISATION OF THE LIBOR MARKET MODELGeneral Volatility Structures(Quasi) Time-Shift Homogeneous ModelsParametrisation of Correlation StructuresSome Possible Applications of Parametric StructuresIMPLIED CALIBRATION OF A LIBOR MARKET MODEL TO CAPS AND SWAPTIONSOrientation and General AspectsAssessment of the Calibration Problem LSq Calibration and Stability Issues in PracticeRegularisation via.
  table of contents: Cover; Title; Copyright; Preface; Contents; List of Tables; List of Figures; Chapter 1: Arbitrage-Free Modelling of Effective Interest Rates; Chapter 2: Parametrisation of the Libor Market Model; Chapter 3: Implied Calibration of a Libor Market Model to Caps and Swaptions; Chapter 4: Pricing of Exotic European Style Products; Chapter 5: Pricing of Bermudan Style Libor Derivatives; Chapter 6: Pricing Long Dated Products via Libor Approximations; Appendix A: Appendix; References; Index.
  note: John Schoenmakers.
  note: Includes bibliographical references (pages 193-198) and index.
  subject:
    topic: Interest rate futures
    topic: Mathematical models
  subject:
    topic: Interest rates
    topic: Mathematical models
  subject:
    topic: Derivative securities
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Marchés à terme de taux d'intérêt
    topic: Modèles mathématiques
  subject:
    topic: Taux d'intérêt
    topic: Modèles mathématiques
  subject:
    topic: Instruments dérivés (Finances)
    topic: Prix
    topic: Modèles mathématiques
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Investments & Securities
    topic: General
  subject:
    topic: Derivative securities
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Interest rate futures
    topic: Mathematical models
  subject:
    topic: Interest rates
    topic: Mathematical models
  classification: HG6024.5 .S36 2005
  classification: 332.64/57/0151
  related item:
    title info:
      title: Robust Libor modelling and pricing of derivative products
    name:
      name part: Schoenmakers, John.
    origin info:
      publisher: Boca Raton, FL : Chapman & Hall/CRC, 2005
    identifier: (DLC) 2004065976
    identifier: (OCoLC)57344057
  related item:
    title info:
      title: Chapman & Hall/CRC financial mathematics series
  identifier: 0203499093
  identifier: 9780203499092
  identifier: 9781584884415
  identifier: 158488441X
  identifier: 9781135436759
  identifier: 1135436754
  identifier: 9781135436704
  identifier: 1135436703
  identifier: 9781135436742
  identifier: 1135436746
  identifier: 9786610314645
  identifier: 6610314640
  identifier: TANDF_13298 Ingram Content Group
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: SCPER
    record creation date: 041222
    record change date: 20241111204700.5
    record identifier: in00005527394
    language of cataloging:
      language term: eng