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 ...
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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.
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Add this copy of Modern Pricing of Interest–Rate Derivatives: the Libor to cart. $18.93, good condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2002 by Princeton University Press.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Clean from markings. In good all round condition. Dust jacket in good condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 950grams, ISBN: 9780691089737.
Add this copy of Modern Pricing of Interest–Rate Derivatives: the Libor to cart. $18.93, fair condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2002 by Princeton University Press.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Book contains pencil markings. In fair condition, suitable as a study copy. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 900grams, ISBN: 0691089736.
Add this copy of Modern Pricing of Interest-Rate Derivatives: The Libor to cart. $30.98, very good condition, Sold by QuickMedia rated 4.0 out of 5 stars, ships from BRONX, NY, UNITED STATES, published 2002 by Princeton University Press.
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Very good in very good dust jacket. Sewn binding. Cloth over boards. With dust jacket. 488 p. Contains: Illustrations, black & white. Audience: General/trade.
Add this copy of Modern Pricing of Interest-Rate Derivatives: the Libor to cart. $48.45, fair condition, Sold by HPB-Red rated 5.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 2002 by Princeton University Press.
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Fair. Connecting readers with great books since 1972. Used textbooks may not include companion materials such as access codes, etc. May have condition issues including wear and notes/highlighting. We ship orders daily and Customer Service is our top priority!
Add this copy of Modern Pricing of Interest-Rate Derivatives: the Libor to cart. $48.45, very good condition, Sold by HPB-Emerald rated 4.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 2002 by Princeton University Press.
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Very good. Connecting readers with great books since 1972! Used books may not include companion materials, and may have some shelf wear or limited writing. We ship orders daily and Customer Service is our top priority!
Add this copy of Modern Pricing of Interest-Rate Derivatives: the Libor to cart. $74.46, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2002 by Princeton University Press.
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