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 to cart. $139.88, new condition, Sold by Books2anywhere rated 5.0 out of 5 stars, ships from Fairford, GLOUCESTERSHIRE, UNITED KINGDOM, published 2002 by Princeton University Press.
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PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.
Add this copy of Modern Pricing of Interest-Rate Derivatives to cart. $148.62, new condition, Sold by Paperbackshop International rated 5.0 out of 5 stars, ships from Fairford, GLOS, UNITED KINGDOM, published 2002 by Princeton University Press.
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PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.
Add this copy of Modern Pricing of Interest-Rate Derivatives: the Libor to cart. $167.70, new condition, Sold by Kennys.ie rated 4.0 out of 5 stars, ships from Galway, IRELAND, published 2002 by Princeton University Press.
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New. Presents the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. This book talks about the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. Num Pages: 488 pages, 148 line illus. 41 tables. BIC Classification: KC; KFFM. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 164 x 238 x 22. Weight in Grams: 832. 2002. Hardcover.....We ship daily from our Bookshop.
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