Extended libor market models: derivatives pricing, implementation, and calibration
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hamburg
Kovač
2002
|
| Schriftenreihe: | Schriftenreihe Finanzmanagement
7 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zugl.: Bonn, Univ., Diss., 2002 |
| Beschreibung: | 114 S. graph. Darst. |
| ISBN: | 3830007108 |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
1 Introduction 7
2 Pricing with Quadratic Volatility IS
2.1 The General Diffusion Model 17
2.2 Pricing with Quadratic Volatility 24
2.3 Pricing Formulae for the Call Option 27
2.4 Examples of Implied Volatilities 33
2.5 Conclusion 39
3 Quadratic Market Models 41
3.1 Extended LIBOR Market Models 43
3.2 Caplet Pricing 50
3.3 Examples of Implied Volatilities 57
3.4 Swaption Pricing 59
3.5 Empirical Results 65
3.6 Conclusion 75
A Proofs 77
A.I Proofs for Section 2.1 77
A.2 Proofs for Section 2.2 81
A.3 Proofs for Section 2.3 85
A.4 Proofs for Section 3.1 95
A.5 Implementation 100
A.6 Proof for Section 3.4 103
5
|
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| bvnumber | BV014555574 |
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| discipline | Wirtschaftswissenschaften |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV014555574 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:03:30Z |
| institution | BVB |
| isbn | 3830007108 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009898105 |
| oclc_num | 50979917 |
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| owner | DE-384 |
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| physical | 114 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Kovač |
| record_format | marc |
| series | Schriftenreihe Finanzmanagement |
| series2 | Schriftenreihe Finanzmanagement |
| spelling | Zühlsdorff, Christian Verfasser aut Extended libor market models derivatives pricing, implementation, and calibration Christian Zühlsdorff Hamburg Kovač 2002 114 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 7 Zugl.: Bonn, Univ., Diss., 2002 Hochschulschrift gtt Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Optionspreistheorie (DE-588)4135346-8 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Schriftenreihe Finanzmanagement 7 (DE-604)BV013087358 7 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009898105&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zühlsdorff, Christian Extended libor market models derivatives pricing, implementation, and calibration Schriftenreihe Finanzmanagement Hochschulschrift gtt Mathematisches Modell (DE-588)4114528-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4381572-8 (DE-588)4135346-8 (DE-588)4113937-9 |
| title | Extended libor market models derivatives pricing, implementation, and calibration |
| title_auth | Extended libor market models derivatives pricing, implementation, and calibration |
| title_exact_search | Extended libor market models derivatives pricing, implementation, and calibration |
| title_full | Extended libor market models derivatives pricing, implementation, and calibration Christian Zühlsdorff |
| title_fullStr | Extended libor market models derivatives pricing, implementation, and calibration Christian Zühlsdorff |
| title_full_unstemmed | Extended libor market models derivatives pricing, implementation, and calibration Christian Zühlsdorff |
| title_short | Extended libor market models |
| title_sort | extended libor market models derivatives pricing implementation and calibration |
| title_sub | derivatives pricing, implementation, and calibration |
| topic | Hochschulschrift gtt Mathematisches Modell (DE-588)4114528-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Hochschulschrift Mathematisches Modell Derivat Wertpapier Optionspreistheorie |
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