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Kenneth McKay is a PhD student at the London School of Economics following a first class honours degree in Mathematics and Economics from the LSE and an MPhil in Finance from Cambridge University. He has been working on interest rate derivative-related research with Riccardo Rebonato for the past year.
Richard White holds a doctorate in Particle Physics from Imperial College London, and a first class honours degree in Physics from Oxford University. He held a Research Associate position at Imperial College before joining RBS in 2004 as a Quantitative Analyst. His research interests include option pricing with Levy Processes, Genetic Algorithms for portfolio optimisation, and Libor Market Models with stochastic volatility. He is currently taking a fortuitously timed sabbatical to pursue his joint passion for travel and scuba diving.
With their new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single measure, and derive ‘drift adjustments’ to ensure the absence of arbitrage and to allow for the pricing of complex derivatives. The credible evolution of future smiles generated by the model is essential to complex derivatives pricing as it determines future prices for caplets and swaptions and therefore plausible re-hedging costs.
The authors calibrate their model to hedging instruments in a way that is both accurate and extremely simple. They also propose a pragmatic hedging approach, inspired by work done with the two-state Markov-chain approach which relies on the empirical regularities of the dynamics of the smile surface and the robustness of the fits proposed. The final chapter considers ‘survival’ hedging in times of market turmoil. It does so by providing a set of transactions that can protect the value of a complex derivatives book in a stressed market.
The extension of the LMM model provides a valid description of the financial reality while retaining tractability, computational speed and ease of calibration. The goal for the new model is to offer the ability to reduce uncertainty in market prices to an acceptable minimum by making as judicious a use as possible of the econometric information available. The grounding in empirical information of the modelling approach utilised by the authors differentiates this title from the stochastic-calculus-heavy, but empirically light, work of others.
The title will be of interest to quantitative analysts, quantitative developers, risk managers and traders in complex derivatives.
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Spese di spedizione:
EUR 5,24
Da: Regno Unito a: U.S.A.
Descrizione libro hardback. Condizione: New. Language: ENG. Codice articolo 9780470740057
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Descrizione libro Condizione: New. Codice articolo 5649962-n
Descrizione libro Condizione: New. Codice articolo 5649962-n
Descrizione libro Hardback. Condizione: New. New copy - Usually dispatched within 4 working days. This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. Codice articolo B9780470740057
Descrizione libro HRD. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo FW-9780470740057
Descrizione libro Condizione: New. 2009. 1st Edition. Hardcover. This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. Num Pages: 296 pages, black & white tables, figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 252 x 177 x 22. Weight in Grams: 660. . . . . . Codice articolo V9780470740057
Descrizione libro Hardcover. Condizione: new. New. Fast Shipping and good customer service. Codice articolo Holz_New_0470740051
Descrizione libro Hardcover. Condizione: Brand New. 1st edition. 296 pages. 9.80x6.80x0.90 inches. In Stock. Codice articolo __0470740051
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