Economics/Finances Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond (0691089736)

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Riccardo Rebonato, "Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond"

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer.

Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness.

Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

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	Study The LIBOR Market Model in Practice The LIBOR Market Model in PracticePublisher:Wiley (2007-02-02) \| ISBN-10: 0470014431 \| PDF \| 3.3 Mb \| 290 pagesThe LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing intere ...
	Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach Publisher: Springer \| Pages: 193 \| 2008-03 \| ISBN 3540770658 \| PDF \| 4 MBThis book provides a modular pricing framework which allows the valuation of interest-rate deriv ...
	Economics/Finances Credit Derivatives Pricing Models: Model, Pricing and Implementation (repost) Philipp J. Schönbucher, "Credit Derivatives Pricing Models: Model, Pricing and Implementation" Wiley \| 2003 \| ISBN: 0470842911 \| 600 pages \| PDF \| 13,2 MB ince its inception, the market for credit derivatives has shown impressive growth ...
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