Robust Libor modelling and pricing of derivative products /

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 Homogeneou...

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Bibliographic Details
Main Author:	Schoenmakers, John
Corporate Author:	Taylor & Francis
Format:	eBook
Language:	English
Published:	Boca Raton, FL : Chapman & Hall/CRC, 2005.
Series:	Chapman & Hall/CRC financial mathematics series.
Subjects:	Interest rate futures > Mathematical models. Interest rates > Mathematical models. Derivative securities > Prices > Mathematical models. Marchés à terme de taux d'intérêt > Modèles mathématiques. Taux d'intérêt > Modèles mathématiques. Instruments dérivés (Finances) > Prix > Modèles mathématiques. BUSINESS & ECONOMICS > Investments & Securities > General. Derivative securities > Prices > Mathematical models Interest rate futures > Mathematical models Interest rates > Mathematical models Electronic books.
Online Access:	Connect to the full text of this electronic book

by Schoenmakers, John
Published 2005

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