http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
Robust Libor modelling and pricing of derivative products
1 online resource (xvi, 202 pages) : illustrations
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.
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.
Includes bibliographical references (pages 193-198) and index.
Boca Raton, FL : Chapman & Hall/CRC, 2005
Chapman & Hall/CRC financial mathematics series