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Robust Libor Modelling and Pricing of Derivative Products 1st Edition by John Schoenmakers ISBN 158488441X 9781584884415

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Robust Libor Modelling and Pricing of Derivative Products 1st Edition John Schoenmakers Digital Instant Download

Author(s): John Schoenmakers
ISBN(s): 9781584884415, 158488441X
Edition: 1
File Details: PDF, 1.44 MB
Year: 2005
Language: english
SKU: EB-4721784 Category: Tag:

Robust Libor Modelling and Pricing of Derivative Products 1st Edition by John Schoenmakers – Ebook PDF Instant Download/Delivery: 158488441X, 9781584884415
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Product details:

ISBN 10: 158488441X 
ISBN 13: 9781584884415
Author: John Schoenmakers

One of Riskbook.com’s Best of 2005 – Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such

Robust Libor Modelling and Pricing of Derivative Products 1st Table of contents:

  1. Chapter 1: Arbitrage-Free Modelling of Effective Interest Rates
  2. Chapter 2: Parametrisation of the Libor Market Model
  3. Chapter 3: Implied Calibration of a Libor Market Model to Caps and Swaptions
  4. Chapter 4: Pricing of Exotic European Style Products
  5. Chapter 5: Pricing of Bermudan Style Libor Derivatives
  6. Chapter 6: Pricing Long Dated Products via Libor Approximations

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Tags: John Schoenmakers, Robust, Modelling