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- catalog contributor b12672863.
- catalog created "2002.".
- catalog date "2002".
- catalog date "2002.".
- catalog dateCopyrighted "2002.".
- catalog description "I. The Structure of the LIBOR Market Model -- 1. Putting the Modern Pricing Approach in Perspective -- 2. The Mathematical and Financial Set-up -- 3. Describing the Dynamics of Forward Rates -- 4. Characterizing and Valuing Complex LIBOR Products -- 5. Determining the No-Arbitrage Drifts of Forward Rates -- II. The Inputs to the General Framework -- 6. Instantaneous Volatilities -- 7. Specifying the Instantaneous Correlation Function -- III. Calibration of the LIBOR Market Model -- 8. Fitting the Instantaneous Volatility Functions -- 9. Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix -- 10. Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices -- IV. Beyond the Standard Approach: Accounting for Smiles -- 11. Extending the Standard Approach -- I: CEV and Displaced Diffusion -- 12. Extending the Standard Approach -- II: Stochastic Instantaneous Volatilities -- 13. A Joint Empirical and Theoretical Analysis of the Stochastic-Volatility LIBOR Market Model.".
- catalog description "Includes bibliographical references (p. 445-452) and index.".
- catalog extent "xvii, 467 p. :".
- catalog identifier "0691089736".
- catalog issued "2002".
- catalog issued "2002.".
- catalog language "eng".
- catalog publisher "Princeton, N.J. : Oxford : Princeton University Press,".
- catalog subject "332.6323 21".
- catalog subject "HG6024.5 .R433 2002".
- catalog subject "Interest rate futures.".
- catalog subject "LIBOR market model.".
- catalog tableOfContents "I. The Structure of the LIBOR Market Model -- 1. Putting the Modern Pricing Approach in Perspective -- 2. The Mathematical and Financial Set-up -- 3. Describing the Dynamics of Forward Rates -- 4. Characterizing and Valuing Complex LIBOR Products -- 5. Determining the No-Arbitrage Drifts of Forward Rates -- II. The Inputs to the General Framework -- 6. Instantaneous Volatilities -- 7. Specifying the Instantaneous Correlation Function -- III. Calibration of the LIBOR Market Model -- 8. Fitting the Instantaneous Volatility Functions -- 9. Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix -- 10. Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices -- IV. Beyond the Standard Approach: Accounting for Smiles -- 11. Extending the Standard Approach -- I: CEV and Displaced Diffusion -- 12. Extending the Standard Approach -- II: Stochastic Instantaneous Volatilities -- 13. A Joint Empirical and Theoretical Analysis of the Stochastic-Volatility LIBOR Market Model.".
- catalog title "Modern pricing of interest-rate derivatives : the LIBOR market model and beyond / Riccardo Rebonato.".
- catalog type "text".