9781584884415 - robust libor modelling and pricing of derivative products di schoenmakers, john (10 risultati)
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2004
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: Three Hegemons Books, Brooklyn, NY, U.S.A.Three Hegemons Books
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hardcover. Condizione: Good. Some wear on edge of back cover. No marks in text.
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2004
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: GreatBookPrices, Columbia, MD, U.S.A.GreatBookPrices
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EUR 254,93
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Condizione: New.
Lingua: Inglese
Editore: Taylor & Francis Inc, 2005
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
- Prima edizione
Da: Grand Eagle Retail, Bensenville, IL, U.S.A.Grand Eagle Retail
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Hardcover. Condizione: new. Hardcover. The 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 as Berm…udan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model.A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2004
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: GreatBookPrices, Columbia, MD, U.S.A.GreatBookPrices
Contatta il venditoreVenditore con 5 stelleCondizione: Usato - Come nuovo
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Condizione: As New. Unread book in perfect condition.
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2004
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: GreatBookPricesUK, Woodford Green, Regno UnitoGreatBookPricesUK
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EUR 271,78
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Condizione: As New. Unread book in perfect condition.
Lingua: Inglese
Editore: Chapman & Hall, 2005
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: Revaluation Books, Exeter, Regno UnitoRevaluation Books
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Hardcover. Condizione: Brand New. 1st edition. 202 pages. 9.25x6.25x0.75 inches. In Stock.
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2004
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: GreatBookPricesUK, Woodford Green, Regno UnitoGreatBookPricesUK
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
EUR 309,45
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Condizione: New.
Lingua: Inglese
Editore: Taylor & Francis Inc, 2005
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
- Prima edizione
Da: AussieBookSeller, Truganina, VIC, AustraliaAussieBookSeller
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Hardcover. Condizione: new. Hardcover. The 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 as Berm…udan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model.A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2004
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
Da: Kennys Bookstore, Olney, MD, U.S.A.Kennys Bookstore
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
EUR 445,52
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Condizione: New. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and log…normal approximations. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 224 pages, 12 black & white illustrations, 43 black & white tables. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 235 x 156 x 18. Weight in Grams: 453. . 2005. 1st Edition. hardcover. . . . . Books ship from the US and Ireland.
Lingua: Inglese
Editore: Chapman and Hall/CRC, 2005
Serie: Libro 1 di 71 - Chapman and Hall/CRC Financial Mathematics
- Rilegato
- Prima edizione
Da: Kennys Bookshop and Art Galleries Ltd., Galway, GY, IrlandaKennys Bookshop and Art Galleries Ltd.
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
EUR 519,36
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Condizione: New. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and log…normal approximations. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 224 pages, 12 black & white illustrations, 43 black & white tables. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 235 x 156 x 18. Weight in Grams: 453. . 2005. 1st Edition. hardcover. . . . .
