Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 電子書 下載


Modern Pricing of Interest-Rate Derivatives

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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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Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 電子書 下載

Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 電子書 下載

Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 電子書 下載



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出版者:Princeton University Press
作者:Riccardo Rebonato
出品人:
頁數:488
譯者:
出版時間:2002-11-24
價格:USD 130.00
裝幀:Hardcover
isbn號碼:9780691089737
叢書系列:

圖書標籤: 金融  Finance  quant  Interest  金融工程  經濟學  Derivatives  數學   


Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 電子書 下載
想要找書就要到 本本書屋
立刻按 ctrl+D收藏本頁
你會得到大驚喜!!

Modern Pricing of Interest-Rate Derivatives pdf epub mobi 用戶評價

評分

Rebonato的風格,強調直覺,不重形式嚴格,細節摳得不夠細。語言有些囉嗦。

評分

Rebonato的風格,強調直覺,不重形式嚴格,細節摳得不夠細。語言有些囉嗦。

評分

Rebonato的風格,強調直覺,不重形式嚴格,細節摳得不夠細。語言有些囉嗦。

評分

Rebonato的風格,強調直覺,不重形式嚴格,細節摳得不夠細。語言有些囉嗦。

評分

Rebonato的風格,強調直覺,不重形式嚴格,細節摳得不夠細。語言有些囉嗦。

Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 電子書 下載


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