Robust Libor Modelling Pricing by Schoenmakers John (10 results)
Language: English
Published by Chapman and Hall/CRC, 2004
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
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hardcover. Condition: Good. Some wear on edge of back cover. No marks in text.
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Language: English
Published by Chapman and Hall/CRC, 2004
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
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Language: English
Published by Taylor & Francis Inc, 2005
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
- First Edition
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Hardcover. Condition: new. Hardcover. The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermu…dan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model.A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
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Language: English
Published by Chapman and Hall/CRC, 2004
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
Seller: GreatBookPrices, Columbia, MD, U.S.A.GreatBookPrices
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Language: English
Published by Chapman and Hall/CRC, 2004
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
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Language: English
Published by Chapman & Hall, 2005
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
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Hardcover. Condition: Brand New. 1st edition. 202 pages. 9.25x6.25x0.75 inches. In Stock.
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Language: English
Published by Chapman and Hall/CRC, 2004
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
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Language: English
Published by Taylor & Francis Inc, 2005
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
- First Edition
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Hardcover. Condition: new. Hardcover. The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermu…dan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model.A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.
Language: English
Published by Chapman and Hall/CRC, 2004
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
Seller: Kennys Bookstore, Olney, MD, U.S.A.Kennys Bookstore
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Condition: New. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and logn…ormal approximations. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 224 pages, 12 black & white illustrations, 43 black & white tables. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 235 x 156 x 18. Weight in Grams: 453. . 2005. 1st Edition. hardcover. . . . . Books ship from the US and Ireland.
Language: English
Published by Chapman and Hall/CRC, 2005
Series: Book 1 of 71 - Chapman and Hall/CRC Financial Mathematics
- Hardcover
- First Edition
Seller: Kennys Bookshop and Art Galleries Ltd., Galway, GY, IrelandKennys Bookshop and Art Galleries Ltd.
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Condition: New. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and logn…ormal approximations. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 224 pages, 12 black & white illustrations, 43 black & white tables. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 235 x 156 x 18. Weight in Grams: 453. . 2005. 1st Edition. hardcover. . . . .
