Modern Pricing of Interest-Rate Derivatives pdf epub mobi txt 電子書下載2025

簡體網頁||繁體網頁

☆☆☆☆☆

出版者:Princeton University Press

作者:Riccardo Rebonato

出品人:

頁數:488

译者:

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

下載連結在頁面底部

facebook linkedin mastodon messenger pinterest reddit telegram twitter viber vkontakte whatsapp 複製連結

想要找書就要到小美書屋

book.quotespace.org

立刻按 ctrl+D收藏本頁

你會得到大驚喜!!

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.