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ARBITRAGE-FREE MODELLING OF EFFECTIVE INTEREST RATES
Elements of Arbitrage Theory and Derivative Pricing
Modelling of Effective Forward Rates
Pricing of Caps and Swaptions in Libor and Swap Market Models
PARAMETRISATION OF THE LIBOR MARKET MODEL
General Volatility Structures
(Quasi) Time-Shift Homogeneous Models
Parametrisation of Correlation Structures
Some Possible Applications of Parametric Structures
IMPLIED CALIBRATION OF A LIBOR MARKET MODEL TO CAPS AND SWAPTIONS
Orientation and General Aspects
Assessment of the Calibration Problem
LSq Calibration and Stability Issues in Practice
Regularisation via a Collateral Market Criterion
Calibration of a Time-Shift Homogeneous LMM
PRICING OF EXOTIC EUROPEAN STYLE PRODUCTS
Exotic European Style Products
Factor Dependence of Exotic Products
Case Studies
PRICING OF BERMUDAN STYLE LIBOR DERIVATIVES
Orientation
The Bermudan Pricing Problem
Backward Construction of the Exercise Boundary
Iterative Construction of the Optimal Stopping Time
Duality; From Tight Lower Bounds to Tight Upper Bounds
Monte Carlo Simulation of Upper Bounds
Numerical Evaluation of Bermudan Swaptions by Different Methods
Efficient Monte Carlo Construction of Upper Bounds
Multiple Callable Structures
PRICING LONG DATED PRODUCTS VIA LIBOR APPROXIMATIONS
Introduction
Different Lognormal Approximations
Direct Simulation of Lognormal Approximations
Efficiency Gain with Respect to SDE Simulation; an Optimal
Simulation Program
Practical Simulation Examples
Summarisation and Final Remarks
APPENDIX
Glossary of Stochastic Calculus
Minimum Search Procedures
Additional Proofs
REFERENCES
INDEX
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Add Robust Libor Modelling and Pricing of Derivative Products, One of Riskbook.com's Best of 2005 - Top Ten Finance Books 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 mo, Robust Libor Modelling and Pricing of Derivative Products to the inventory that you are selling on WonderClubX
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Add Robust Libor Modelling and Pricing of Derivative Products, One of Riskbook.com's Best of 2005 - Top Ten Finance Books 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 mo, Robust Libor Modelling and Pricing of Derivative Products to your collection on WonderClub |