Holdings: Modelling interest rates

Modelling interest rates: advances in derivatives pricing

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Bibliographic Details
Other Authors:	Mercurio, Fabio (Editor)
Format:	Book
Language:	English
Published:	London Risk Books 2009
Subjects:	Zins Derivat > Wertpapier Derivative securities. Interest rates > Mathematical models. LIBOR market model. Financial futures.
Online Access:	Inhaltsverzeichnis
Physical Description:	XXV, 283 S. graph. Darst.
ISBN:	9781906348137

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MARC


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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
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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
url	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
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