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Book Categories |
| Introduction | ||
| Acknowledgements | ||
| I | The Structure of the LIBOR Market Model | 1 |
| 1 | Putting the Modern Pricing Approach in Perspective | 3 |
| 2 | The Mathematical and Financial Set-up | 25 |
| 3 | Describing the Dynamics of Forward Rates | 57 |
| 4 | Characterizing and Valuing Complex LIBOR Products | 85 |
| 5 | Determining the No-Arbitrage Drifts of Forward Rates | 111 |
| II | The Inputs to the General Framework | 133 |
| 6 | Instantaneous Volatilities | 135 |
| 7 | Specifying the Instantaneous Correlation Function | 173 |
| III | Calibration of the LIBOR Market Model | 209 |
| 8 | Fitting the Instantaneous Volatility Functions | 211 |
| 9 | Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix | 249 |
| 10 | Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices | 276 |
| IV | Beyond the Standard Approach: Accounting for Smiles | 331 |
| 11 | Extending the Standard Approach - I: CEV and Displaced Diffusion | 333 |
| 12 | Extending the Standard Approach - II: Stochastic Instantaneous Volatilities | 367 |
| 13 | A Joint Empirical and Theoretical Analysis of the Stochastic-Volatility LIBOR Market Model | 415 |
| Bibliography | 445 | |
| Index | 453 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Charles Pipkin
reviewed Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond on November 30, 2013
Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
The book is not easy to read, there is a lot of unnecessary information in it and a lot of the material is just repeating in different chapters. It is not very "friendly" for students who want to learn more about option valuations.
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Add 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 researc, Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond to the inventory that you are selling on WonderClubX
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Add 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 researc, Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond to your collection on WonderClub |