Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Mo

Description: Book DetailsTitle: Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Mo Item Condition:used item in a very good conditionAuthor:Riccardo Rebonato ISBN 10:0691089736Publisher:Princeton University Press ISBN 13:9780691089737Published On:2002-11-04 SKU:7719-9780691089737Binding:Hardcover Language: Not SpecifiedEdition: List Price:-Description In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance. At AwesomeBooks we believe that good quality and speed of service is what pleases our customers and according to this we have a product guarantee on all our books. All used books sold by AwesomeBooks:Will be clean, not soiled or stained.All pages will be present and undamaged.Books will be free of page markings.Some pages may be slightly dog-eared through previous use.The spine may show some creasing through previous use.Ultimately we would never send any book we would not pick up and read ourselves. All new books sold by AwesomeBooks:Will be completely new and unfolded.Wrapped carefully to prevent damage or curling of book edges.100% money back guarantee If you are not satisfied for any reason, simply drop us an email and we will give you a 100% refund upon returning the item. If you are not happy then neither are we. If your order has not be reached you within a maximum of 21 days please contact us and we will respond immediately to help. Return Policy At AwesomeBooks, we believe our customers should feel free to order any of our products in the knowledge that they can return anything back within 30 days of purchasing an item for any reason. We will not make it awkward, if you want to return something then all you have to do is ask! Simply drop us an email to the address given on your order confirmation email or login to your paypal account used for payment and send us an email from there. For defects or problems caused before receipt of an item we will of course provide full instructions on how to return the item to us. For other issues (perhaps you did not like a product or it did not live up to expectations), we are happy to refund all costs but require the buyer to pay the return postage cost. Once you drop us an email requesting a return, we will let you know the precise return method quickly and conveniently.

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End Time: 2024-12-08T03:40:38.000Z

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