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Author : Marco Bianchetti
Release : 2015-04-01
Genre : Business & Economics
Kind : eBook
Book Rating : 012/5 ( reviews)
Book Synopsis Modern Interest Rate Markets and Models by : Marco Bianchetti
Download or read book Modern Interest Rate Markets and Models written by Marco Bianchetti. This book was released on 2015-04-01. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Riccardo Rebonato
Release : 2012-01-16
Genre : Business & Economics
Kind : eBook
Book Rating : 321/5 ( reviews)
Book Synopsis Modern Pricing of Interest-Rate Derivatives by : Riccardo Rebonato
Download or read book Modern Pricing of Interest-Rate Derivatives written by Riccardo Rebonato. This book was released on 2012-01-16. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Riccardo Rebonato
Release : 2002-11-24
Genre : Business & Economics
Kind : eBook
Book Rating : 736/5 ( reviews)
Book Synopsis Modern Pricing of Interest-Rate Derivatives by : Riccardo Rebonato
Download or read book Modern Pricing of Interest-Rate Derivatives written by Riccardo Rebonato. This book was released on 2002-11-24. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Siddhartha Jha
Release : 2011-03-28
Genre : Business & Economics
Kind : eBook
Book Rating : 201/5 ( reviews)
Book Synopsis Interest Rate Markets by : Siddhartha Jha
Download or read book Interest Rate Markets written by Siddhartha Jha. This book was released on 2011-03-28. Available in PDF, EPUB and Kindle. Book excerpt: How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
Author : Rajna Gibson
Release : 2010
Genre : Business & Economics
Kind : eBook
Book Rating : 727/5 ( reviews)
Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
