Modelling interest rates: advances in derivatives pricing
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXV, 283 S. graph. Darst. |
| ISBN: | 9781906348137 |
Internformat
MARC
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| 245 | 1 | 0 | |a Modelling interest rates |b advances in derivatives pricing |c ed. by Fabio Mercurio |
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| 300 | |a XXV, 283 S. |b graph. Darst. | ||
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| 653 | |a Derivative securities. | ||
| 653 | |a Interest rates--Mathematical models. | ||
| 653 | |a LIBOR market model. | ||
| 653 | |a Financial futures. | ||
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Datensatz im Suchindex
| _version_ | 1804152418569551872 |
|---|---|
| adam_text | Titel: Modelling interest rates
Autor: Mercurio, Fabio
Jahr: 2009
Contents
List of Figures vii
List of Tables ix
About the Editor xi
About the Authors xiii
Preface xix
PART I MULTI-CURVE MODELLING 1
1 Bootstrapping the Illiquidity: Multiple Yield Curves
Construction for Market Coherent Forward Rates Estimation 3
Ferdinande/ M. Ametrano; Marco Bianchetti
Banca IMI; Banca IntesaSanpaolo
2 Yield Spread Options under the DLG Model 43
Masaaki Kijima, Keiichi Tanaka; Tony Wong
Tokyo Metropolitan University; Mizuho Securities Co Ltd
PART II NEW ADVANCES IN LIBOR MARKET MODELS 73
3 Non-parametric Calibration of Forward Rate Models 75
Dariusz Gatarek
National Bank of Poland and Systems Research Institute PAS
4 On the Calibration of the Market Model with a Square-Root
Volatility Process 97
Lixin Wu
The Hong Kong University of Science and Technology
5 No-Arbitrage Dynamics and Formulas for a Tractable SABR
Term-Structure Model 129
Fabio Mercurio; Massimo Morini
Bloomberg; Banca IMI
6 The Longstaff-Schwartz Algorithm and Effective Model
Dimensionality 167
Phil Hunt; Joanne Kennedy
Citigroup; University of Warwick
PARTIM HEDGINGISSUES 181
7 Dynamics Misspecification in Local-Stochastic Volatility Models 183
Giuseppe Di Graziano; Stefano Galluccio
Deutsche Bank; BNP Paribas
8 A Note on Hedging with Local and Stochastic Volatility Models 203
Fabio Mercurio; Massimo Morini
Bloomberg; Banca IMI
PART IV NEW MODELS AND THE PRICING OF SPECIFIC
CONTRACTS 219
9 Libor Volatility Derivatives 221
Nicolas Merener
Universidad Torcuato Di Telia
10 Smile-Consistent CMS Adjustments in Closed Form:
Introducing the Vanna-Volga Approach 245
Antonio Castagna; Fabio Mercurio and Marco Tarenghi
Iason Ltd; Banca IMI
11 Cap Pricing in Continuous-Time and Discrete-Time Affine
Term-Structure Models with Stochastic Volatility 265
Ali Hirsa, Li Bao; Dilip B. Madan
Caspian Capital Management, LLC; University of Maryland
Index 279
|
| any_adam_object | 1 |
| author2 | Mercurio, Fabio |
| author2_role | edt |
| author2_variant | f m fm |
| author_GND | (DE-588)171430697 |
| author_facet | Mercurio, Fabio |
| building | Verbundindex |
| bvnumber | BV042005722 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)699036270 (DE-599)HBZHT016961345 |
| dewey-full | 332.6457 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6457 |
| dewey-search | 332.6457 |
| dewey-sort | 3332.6457 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042005722 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:10:24Z |
| institution | BVB |
| isbn | 9781906348137 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027447666 |
| oclc_num | 699036270 |
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| owner | DE-473 DE-BY-UBG |
| owner_facet | DE-473 DE-BY-UBG |
| physical | XXV, 283 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Risk Books |
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| spelling | Modelling interest rates advances in derivatives pricing ed. by Fabio Mercurio London Risk Books 2009 XXV, 283 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zins (DE-588)4067845-3 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivative securities. Interest rates--Mathematical models. LIBOR market model. Financial futures. Derivat Wertpapier (DE-588)4381572-8 s Zins (DE-588)4067845-3 s DE-604 Mercurio, Fabio (DE-588)171430697 edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027447666&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Modelling interest rates advances in derivatives pricing Zins (DE-588)4067845-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4067845-3 (DE-588)4381572-8 |
| title | Modelling interest rates advances in derivatives pricing |
| title_auth | Modelling interest rates advances in derivatives pricing |
| title_exact_search | Modelling interest rates advances in derivatives pricing |
| title_full | Modelling interest rates advances in derivatives pricing ed. by Fabio Mercurio |
| title_fullStr | Modelling interest rates advances in derivatives pricing ed. by Fabio Mercurio |
| title_full_unstemmed | Modelling interest rates advances in derivatives pricing ed. by Fabio Mercurio |
| title_short | Modelling interest rates |
| title_sort | modelling interest rates advances in derivatives pricing |
| title_sub | advances in derivatives pricing |
| topic | Zins (DE-588)4067845-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Zins Derivat Wertpapier |
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