Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Princeton, N.J.
Princeton University Press
2002
|
| Subjects: | |
| Online Access: | Volltext Volltext |
| Item Description: | Biographical note: RebonatoRiccardo: Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in Mathematical Finance. His books include "Interest-Rate Option Models" and "Volatility and Correlation in Option Pricing" Main description: 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 |
| Physical Description: | 1 Online-Ressource (488 S.) |
| ISBN: | 9781400829323 |
| DOI: | 10.1515/9781400829323 |
Staff View
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV042522452 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 150423s2002 |||| o||u| ||||||eng d | ||
| 020 | |a 9781400829323 |9 978-1-4008-2932-3 | ||
| 024 | 7 | |a 10.1515/9781400829323 |2 doi | |
| 035 | |a (OCoLC)909875875 | ||
| 035 | |a (DE-599)BVBBV042522452 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 100 | 1 | |a Rebonato, Riccardo |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Modern Pricing of Interest-Rate Derivatives |b The LIBOR Market Model and Beyond |
| 264 | 1 | |a Princeton, N.J. |b Princeton University Press |c 2002 | |
| 300 | |a 1 Online-Ressource (488 S.) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 500 | |a Biographical note: RebonatoRiccardo: Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in Mathematical Finance. His books include "Interest-Rate Option Models" and "Volatility and Correlation in Option Pricing" | ||
| 500 | |a Main description: 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 | ||
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisbildung |0 (DE-588)4047103-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 0 | 1 | |a Preisbildung |0 (DE-588)4047103-2 |D s |
| 689 | 0 | 2 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 856 | 4 | 0 | |u https://doi.org/10.1515/9781400829323 |x Verlag |3 Volltext |
| 856 | 4 | 0 | |u http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829323&searchTitles=true |x Verlag |3 Volltext |
| 912 | |a ZDB-23-DGG | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027956791 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Record in the Search Index
| _version_ | 1804153275207909376 |
|---|---|
| any_adam_object | |
| author | Rebonato, Riccardo |
| author_facet | Rebonato, Riccardo |
| author_role | aut |
| author_sort | Rebonato, Riccardo |
| author_variant | r r rr |
| building | Verbundindex |
| bvnumber | BV042522452 |
| collection | ZDB-23-DGG |
| ctrlnum | (OCoLC)909875875 (DE-599)BVBBV042522452 |
| doi_str_mv | 10.1515/9781400829323 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03494nmm a2200409zc 4500</leader><controlfield tag="001">BV042522452</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">150423s2002 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781400829323</subfield><subfield code="9">978-1-4008-2932-3</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1515/9781400829323</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)909875875</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV042522452</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Rebonato, Riccardo</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Modern Pricing of Interest-Rate Derivatives</subfield><subfield code="b">The LIBOR Market Model and Beyond</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Princeton, N.J.</subfield><subfield code="b">Princeton University Press</subfield><subfield code="c">2002</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (488 S.)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Biographical note: RebonatoRiccardo: Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in Mathematical Finance. His books include "Interest-Rate Option Models" and "Volatility and Correlation in Option Pricing"</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Main description: 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</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Preisbildung</subfield><subfield code="0">(DE-588)4047103-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Preisbildung</subfield><subfield code="0">(DE-588)4047103-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1515/9781400829323</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829323&searchTitles=true</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-23-DGG</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-027956791</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| id | DE-604.BV042522452 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:24:01Z |
| institution | BVB |
| isbn | 9781400829323 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027956791 |
| oclc_num | 909875875 |
| open_access_boolean | |
| physical | 1 Online-Ressource (488 S.) |
| psigel | ZDB-23-DGG |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Princeton University Press |
| record_format | marc |
| spelling | Rebonato, Riccardo Verfasser aut Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond Princeton, N.J. Princeton University Press 2002 1 Online-Ressource (488 S.) txt rdacontent c rdamedia cr rdacarrier Biographical note: RebonatoRiccardo: Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in Mathematical Finance. His books include "Interest-Rate Option Models" and "Volatility and Correlation in Option Pricing" Main description: 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 Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 https://doi.org/10.1515/9781400829323 Verlag Volltext http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829323&searchTitles=true Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Rebonato, Riccardo Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4114528-8 |
| title | Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond |
| title_auth | Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond |
| title_exact_search | Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond |
| title_full | Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond |
| title_fullStr | Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond |
| title_full_unstemmed | Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond |
| title_short | Modern Pricing of Interest-Rate Derivatives |
| title_sort | modern pricing of interest rate derivatives the libor market model and beyond |
| title_sub | The LIBOR Market Model and Beyond |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Derivat Wertpapier Preisbildung Mathematisches Modell |
| url | https://doi.org/10.1515/9781400829323 http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400829323&searchTitles=true |
| work_keys_str_mv | AT rebonatoriccardo modernpricingofinterestratederivativesthelibormarketmodelandbeyond |