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- catalog abstract "This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.".
- catalog contributor b12223295.
- catalog contributor b12223296.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description "Includes bibliographical references (p. [501]-508) and index.".
- catalog description "Pt. I. Models: Theory and Implementation. 1. Definitions and Notation. 2. No-Arbitrage Pricing and Numeraire Change. 3. One-Factor Short-Rate Models. 4. Two-Factor Short-Rate Models. 5. The Heath-Jarrow-Morton (HJM) Framework. 6. The LIBOR and Swap Market Models (LFM and LSM). 7. Cases of Calibration of the LIBOR Market Model. 8. Monte Carlo Tests for LFM Analytical Approximations. 9. Other Interest-Rate Models -- Pt. II. Pricing Derivatives in Practice. 10. Pricing Derivatives on a Single Interest-Rate Curve. 11. Pricing Derivatives on Two Interest-Rate Curves. 12. Pricing Equity Derivatives under Stochastic Rates. App. A. Crash Introduction to Stochastic Differential Equations.".
- catalog description "This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.".
- catalog extent "xxxv, 518 p. :".
- catalog identifier "3540417729 (alk. paper)".
- catalog isPartOf "Springer finance".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "Berlin ; New York : Springer,".
- catalog subject "332.8/2/015118 21".
- catalog subject "Derivative securities Prices Mathematical models.".
- catalog subject "HB539 .B785 2001".
- catalog subject "Interest rates Mathematical models.".
- catalog tableOfContents "Pt. I. Models: Theory and Implementation. 1. Definitions and Notation. 2. No-Arbitrage Pricing and Numeraire Change. 3. One-Factor Short-Rate Models. 4. Two-Factor Short-Rate Models. 5. The Heath-Jarrow-Morton (HJM) Framework. 6. The LIBOR and Swap Market Models (LFM and LSM). 7. Cases of Calibration of the LIBOR Market Model. 8. Monte Carlo Tests for LFM Analytical Approximations. 9. Other Interest-Rate Models -- Pt. II. Pricing Derivatives in Practice. 10. Pricing Derivatives on a Single Interest-Rate Curve. 11. Pricing Derivatives on Two Interest-Rate Curves. 12. Pricing Equity Derivatives under Stochastic Rates. App. A. Crash Introduction to Stochastic Differential Equations.".
- catalog title "Interest rate models : theory and practice / Damiano Brigo, Fabio Mercurio.".
- catalog type "text".