| Robust Libor Modelling and Pricing of Derivative Products Contributor(s): Schoenmakers, John (Author) |
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ISBN: 158488441X ISBN-13: 9781584884415 Publisher: CRC Press OUR PRICE: $161.50 Product Type: Hardcover - Other Formats Published: March 2005 Annotation: The Libor market model is still one of the most popular and advanced tools for modeling interest rates and interest rate derivatives. However, finding a useful procedure for calibrating the model has been a perennial problem. Robust Libor Modelling and Pricing of Derivative Products introduces a new approach and its impact on Libor derivative pricing. Intended for newcomers to financial mathematics and engineering, the book serves as a quick introduction to the area of interest rate modelling and pricing. It also provides an innovative treatment of issues concerning Libor calibration and the pricing of exotic instruments, that will appeal to more experienced practitioners in the field. |
| Additional Information |
| BISAC Categories: - Business & Economics | Interest - Business & Economics | Finance - General |
| Dewey: 616.240 |
| LCCN: 2004065976 |
| Series: Chapman & Hall/CRC Financial Mathematics Series |
| Physical Information: 0.7" H x 6.38" W x 9.5" (0.98 lbs) 202 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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 model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model. A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles. |