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Interest-rate option models : understanding, analysing and using models for exotic interest-rate options 2nd ed

Interest-rate option models : understanding, analysing and using models for exotic interest-rate options 2nd ed (12회 대출)

자료유형
단행본
개인저자
Rebonato, Riccardo.
서명 / 저자사항
Interest-rate option models : understanding, analysing and using models for exotic interest-rate options / Riccardo Rebonato.
판사항
2nd ed.
발행사항
Chichester ;   New York :   Wiley ,   c1998.  
형태사항
xxiii, 521 p. : ill. ; 24 cm.
총서사항
Wiley series in financial engineering
ISBN
0471979589 (cloth)
서지주기
Includes bibliographical references (p. [509]-514) and index.
일반주제명
Interest rate futures -- Mathematical models. Options (Finance) -- Mathematical models.
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001 000045243624
005 20060406140635
008 971113s1998 enka b 001 0 eng
010 ▼a 97043952
020 ▼a 0471979589 (cloth)
035 ▼a (KERIS)REF000004609875
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG6024.5 ▼b .R43 1998
082 0 0 ▼a 332.63/23 ▼2 21
090 ▼a 332.6323 ▼b R292i2
100 1 ▼a Rebonato, Riccardo.
245 1 0 ▼a Interest-rate option models : ▼b understanding, analysing and using models for exotic interest-rate options / ▼c Riccardo Rebonato.
250 ▼a 2nd ed.
260 ▼a Chichester ; ▼a New York : ▼b Wiley , ▼c c1998.
300 ▼a xxiii, 521 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a Wiley series in financial engineering
504 ▼a Includes bibliographical references (p. [509]-514) and index.
650 0 ▼a Interest rate futures ▼x Mathematical models.
650 0 ▼a Options (Finance) ▼x Mathematical models.
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6323 R292i2 등록번호 111357738 도서상태 대출가능 반납예정일 예약 서비스 B M

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CONTENTS
Preface to the Second Edition = xiii
Preface to the First Edition = xv
Acknowledgements = xix
List of symbols and abbreviations = xxi
PART ONE THE NEED FOR YIELD CURVE OPTION PRICING MODELS = 1
 1 Definition and valuation of the underlying instruments = 3
  1.1 Introduction = 3
  1.2 Definition of spot rates, forward rates, swap rates and par coupon rates = 5
  1.3 The valuation of plain-vanilla swaps and FRAs = 8
  1.4 Obtaining the discount function from a set of spanning forward or swap rates = 14
  1.5 The valuation of caps, floors and European swaptions = 15
  1.6 Determination of the discount function : the case of bonds - linear models = 21
  1.7 Determination of the discount function : the case of bonds - non-linear models = 25
  1.8 Determination of the discount function : the case of the LIBOR curve = 27
 2 Exotic interest-rate instruments : description and valuation issues = 29
  2.1 Introduction = 29
  2.2 LIBOR-in-arrears swaps = 30
  2.3 American (Bermudan) swaptions = 36
  2.4 Trigger swaps = 41
  2.5 One-way floaters = 44
  2.6 Captions = 47
 3 A statistical approach to yield curve models = 51
  3.1 Statistical analysis of the evolution of rates = 51
  3.2 The effects of model dimensionality on option pricing = 63
  3.3 A framework for option pricing = 72
 4 Correlation, average and instantaneous volatilities, and their impact on the pricing of LIBOR options = 75
  4.1 Introduction and motivation = 75
  4.2 Instantaneous and average volatilities = 77
  4.3 Pricing European swaptions with instantaneous volatilities = 80
  4.4 Term decorrelation = 83
  4.5 Relationships between average, instantaneous and term structure of volatilities = 91
  4.6 Conclusions = 100
  Appendix 4.1 = 101
  Appendix 4.2 = 102
 5 A motivation for yield curve models = 105
  5.1 Introduction = 105
  5.2 Hedging a bond option with the underlying forward contract = 106
  5.3 Hedging a path-dependent bond option with forward contracts = 109
PART TWO THE THEORETICAL TOOLS = 117
 6 Establishing a pricing framework = 119
  6.1 Introduction and motivation = 119
  6.2 First approach - 'Replication Strategy' = 121
  6.3 Second approach - 'Naive Expectation' = 123
  6.4 Third approach - 'Market Price of Risk' = 125
  6.5 Fourth approach - Risk-neutral valuation = 129
  6.6 Pseudo-probabilities = 130
  6.7 A pricing framework = 134
  6.8 Evaluation of a contingent claim in a multi-period setting = 136
  6.9 Self-financing tradine strategies = 139
  6.10 Fair prices as expectations = 141
  6.11 Switching numeraires and relating expectations under different measures = 144
  6.12 Justifying the two-state branching procedure = 150
  6.13 The nature of the transformation between measures - Girsanov's theorem = 153
 7 The conditions of no-arbitrage = 157
  7.1 First no-arbitrage condition : the Vasicek approach = 157
  7.2 Second no-arbitrage condition : the martingale approach = 160
  7.3 The case of a deterministic-interest-rates economy = 162
  7.4 First choice of numeraire : the money market account = 165
  7.5 Second choice of numeraire : discount bonds = 170
  7.6 An intuitive discussion = 174
  7.7 A worked-out example : valuing a LIBOR-in-arrears swap = 176
  7.8 Switching between measures - the Vaillant brackets = 179
PART THREE THE IMPLEMENTATION TOOLS = 185
 8 Lattice methods = 187
  8.1 Justification of lattice models = 187
  8.2 Implementation of lattice models : backward induction = 194
  8.3 Implementation of lattice models : forward induction = 197
 9 The partial differential equation(PDE) approach = 201
  9.1 The underlying parabolic equation and the calibration issues = 201
  9.2 Finite-differences(FD) approximations to parabolic PDEs = 205
  9.3 The explicit finite-differences scheme = 208
  9.4 The implicit finite-differences scheme = 212
 10 Monte Carlo methods = 215
  10.1 Introduction = 215
  10.2 The method = 216
  10.3 Variance-reduction techniques = 222
  10.4 Handling American options = 227
PART FOUR ANALYSIS OF SPECIFIC MODELS = 231
 11 The CIR and Vasicek models = 233
  11.1 General features of desirable interest-rate processes = 233
  11.2 Derivation of the CIR and Vasicek models = 239
  11.3 Analytic Properties of the CIR discount function = 243
  11.4 Bond options in the CIR model = 246
  11.5 Parametrisation of the CIR model = 249
  11.6 The CIR model : empirical results = 251
 12 The Black Derman and Toy model = 259
  12.1 Introduction = 259
  12.2 Analytic characterisation = 260
  12.3 Assessing the realism of the BDT model = 262
  12.4 Derivatives in one-factor models : the BDT case = 268
  12.5 Calibrating the BDT model : pricing FRAs, caps and swaptions using lattice models = 270
 13 The Hull and White approach = 281
  13.1 Introduction and motivation = 281
  13.2 Specification of the one-factor version of the model = 283
  13.3 Exact fitting of the model to the term structure of volatilities = 288
  13.4 Constructing the HW tree for constant reversion speed and volatility = 289
  13.5 Best-fit calibration of the one-dimensional HW model to market data = 295
  13.6 The two-dimensional formulation of the HW model = 301
  13.7 Calibrating a two-factor HW model = 306
  13.8 Numerical implementation = 308
  13.9 Conclusions = 311
  Appendix 13.1 = 312
 14 The Longstaff and Schwartz model = 131
  14.1 Motivation = 313
  14.2 The LS economy = 314
  14.3 The PDE obeyed by contingent claims = 315
  14.4 The dynamics of the transformed variables r and V = 316
  14.5 The equilibrium term structure = 320
  14.6 Term structure of volatilities = 321
  14.7 Correlation between rates = 323
  14.8 Option pricing = 325
  14.9 Calibrating the LS model = 327
  14.10 Fitting the yield curve using the implied approach = 328
  14.11 Tests of the joint dynamics using the implied approach = 332
  14.12 Calibration to the yield curve using the historical approach = 337
  14.13 Conclusions = 339
 15 The Brennan and Schwartz model = 341
  15.1 Introduction = 341
  15.2 The condition of no-arbitrage and the market price of long yield risk = 342
  15.3 The specific model = 345
  15.4 Conclusions = 351
 16 A class of arbitrage-free log-normal short-rate two-factor models = 353
  16.1 Introduction and motivation = 353
  16.2 Description of the model = 355
  16.3 Implementation and numerical issues = 358
  16.4 Calibration and parametrisation = 361
  16.5 Computational results = 364
  16.6 Conclusions = 367
  Appendix 16.1 = 368
 17 The Heath Jarrow and Morton approach = 371
  17.1 Introduction = 371
  17.2 The HJM approach = 373
  17.3 Specifications of the HJM model consistent with log-normal bond prices or forward rates = 378
  17.4 General constraints on the volatilities of discount bond prices = 380
  17.5 The process for the short rate = 384
  17.6 Conclusions = 389
 18 The Brace-Gatarek-Musiela/Jamshidian approach = 393
  18.1 Observable and unobservable state variables = 393
  18.2 The discretely-compounded money-market account - forward rates = 395
  18.3 The discretely-compounded money-market account - swap rates = 399
  18.4 The choice of the most suitable pricing framework = 402
  18.5 Do models still exist? = 406
PART FIVE GENERAL TOPICS = 411
 19 Affine models = 413
  19.1 Definition of affine models = 413
  19.2 Time-homogeneous affine models = 414
  19.3 Time-inhomogeneous affine models = 418
  19.4 General considerations = 420
 20 Markovian and non-Markovian interest-rate models = 423
  20.1 Definition of Markovian rate processes = 423
  20.2 Conditions for the rate process to be Markovian = 425
  20.3 Non-Markovian models on recombining trees = 428
  20.4 Implications for the choice of interest-rate models = 429
 21 Calibration to cap prices of mean-reverting log-normal short-rate models = 435
  21.1 Introduction = 435
  21.2 Statement of the problem = 436
  21.3 The unconditional variance of the short rate in BDT - the discrete case = 437
  21.4 The unconditional variance of the short rate in BDT - the continuous-time equivalent = 440
  21.5 Extension to two-factor approaches = 441
  21.6 Conclusions = 443
  Appendix 21.1 = 444
Appendix A Elements of probability and stochastic calculus = 447
 A.1 Fundamental results and definitions about set theory = 447
 A.2 Fundamental probabilistic definitions = 448
 A.3 Representing the flow of information = 452
 A.4 Brownian motions and random walks = 466
 A.5 Martingales and Ito integrals = 474
 A.6 Ito's lemma and the rules of stochastic differentiation = 481
 A.7 The link between stochastic differential equations(SDEs) and parabolic partial differential equations(PDEs) = 485
 A.8 Switching between measures - the Radon-Nikodym derivative and Girsanov's theorem = 486
Appendix B The securities market = 491
 B.1 Prices and strategies = 491
 B.2 Definition of arbitrage in a discrete complete market = 496
 B.3 Replication of contingent claims = 502
Bibliography = 509
Index = 515


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