HOME > 상세정보

상세정보

Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

Modern pricing of interest-rate derivatives : the LIBOR market model and beyond (6회 대출)

자료유형
단행본
개인저자
Rebonato, Riccardo.
서명 / 저자사항
Modern pricing of interest-rate derivatives : the LIBOR market model and beyond / Riccardo Rebonato.
발행사항
Princeton, N.J. :   Princeton University Press ,   c2002.  
형태사항
xvii, 467 p. : ill. ; 23 cm.
ISBN
0691089736
서지주기
Includes bibliographical references (p. 445-452) and index.
일반주제명
Interest rate futures.
000 00920camuu2200265 a 4500
001 000045319356
005 20070105161149
008 030725s2002 njua b 001 0 eng d
010 ▼a 2003273032
015 ▼a GBA2-V1187
020 ▼a 0691089736
035 ▼a (KERIS)REF000009554203
040 ▼a UKM ▼c UKM ▼d EXW ▼d OCLCQ ▼d IXA ▼d OCLCQ ▼d DLC ▼d 211009
042 ▼a lccopycat
050 0 0 ▼a HG6024.5 ▼b .R433 2002
082 0 0 ▼a 332.6323 ▼2 22
090 ▼a 332.6323 ▼b R292m
100 1 ▼a Rebonato, Riccardo.
245 1 0 ▼a Modern pricing of interest-rate derivatives : ▼b the LIBOR market model and beyond / ▼c Riccardo Rebonato.
260 ▼a Princeton, N.J. : ▼b Princeton University Press , ▼c c2002.
300 ▼a xvii, 467 p. : ▼b ill. ; ▼c 23 cm.
504 ▼a Includes bibliographical references (p. 445-452) and index.
650 0 ▼a Interest rate futures.
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6323 R292m 등록번호 111394694 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차


CONTENTS
Introduction = xi
Acknowledgements = xvii
Ⅰ The Structure of the LIBOR Market Model = 1
 1 Putting the Modern Pricing Approach in Perspective = 3
  1.1 Historical Developments = 3
  1.2 Some Important Remarks = 21
 2 The Mathematical and Financial Set-up = 25
  2.1 The Modelling Framework = 25
  2.2 Definition and Valuation of the Underlying Plain-Vanilla Instruments = 28
  2.3 The Mathematical and Financial Description of the Securities Market = 40
 3 Describing the Dynamics of Forward Rates = 57
  3.1 A Working Framework for the Modern Pricing Approach = 57
  3.2 Equivalent Descriptions of the Dynamics of Forward Rates = 65
  3.3 Generalization of the Approach = 79
  3.4 The Swap-Rate-Based LIBOR Market Model = 83
 4 Characterizing and Valuing Complex LIBOR Products = 85
  4.1 The Types of Product That Can be Handled Using the LIBOR Market Model = 85
  4.2 Case Study : Pricing in a Three-Forward-Rate, Two-Factor World = 96
  4.3 Overview of the Results So Far = 107
 5 Determining the No-Arbitrage Drifts of Forward Rates = 111
  5.1 General Derivation of the Drift Terms = 112
  5.2 Expressing the No-Arbitrage Conditions in Terms of Market-Related Quantities = 118
  5.3 Approximations of the Drift Terms = 123
  5.4 Conclusions = 131
Ⅱ The Inputs to the General Framework = 133
 6 Instantaneous Volatilities = 135
  6.1 Introduction and Motivation = 135
  6.2 Instantaneous Volatility Functions : General Results = 141
  6.3 Functional Forms for the Instantaneous Volatility Function - Financial Implications = 153
  6.4 Analysis of Specific Functional Forms for the Instantaneous Volatility Functions = 167
  6.5 Appendix Ⅰ - Why Specification(6.11c) Fails to Satisfy Joint Conditions = 171
  6.6 Appendix Ⅱ - Indefinite Integral of the Instantaneous Covariance = 171
 7 Specifying the Instantaneous Correlation Function = 173
  7.1 General Considerations = 173
  7.2 Empirical Data and Financial Plausibility = 180
  7.3 Intrinsic Limitations of Low-Dimensionality Approaches = 185
  7.4 Proposed Functional Forms for the Instantaneous Correlation Function = 189
  7.5 Conditions for the Occurrence of Exponential Correlation Surfaces = 196
  7.6 A Semi-Parametric Specification of the Correlation Surface = 204
Ⅲ Calibration of the LIBOR Market Model = 209
 8 Fitting the Instantaneous Volatility Functions = 211
  8.1 General Calibration Philosophy and Plan of Part Ⅲ = 211
  8.2 A First Approach to Fitting the Caplet Market : Imposing Time-Homogeneity = 214
  8.3 A Second Approach to Fitting the Caplet Market : Using Information from the Swaption Matrix = 218
  8.4 A Third Approach to Fitting the Caplet Market : Assigning a Future Term Structure of Volatilities = 226
  8.5 Results = 231
  8.6 Conclusions = 248
 9 Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix = 249
  9.1 Introduction and Motivation = 249
  9.2 An Optimal Procedure to Recover an Exogenous Target Correlation Matrix = 254
  9.3 Results and Discussion = 260
  9.4 Conclusions = 274
 10 Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices = 276
  10.1 The General Context = 276
  10.2 The Need for a Joint Description of the Forward- and Swap-Rate Dynamics = 280
  10.3 Approximating the Swap-Rate Instantaneous Volatility = 294
  10.4 Computational Results on European Swaptions = 306
  10.5 Calibration to Co-Terminal European Swaption Prices = 312
  10.6 An Application : Using an FRA - Based LIBOR Market Model for Bermudan Swaptions = 318
  10.7 Quality of the Numerical Approximation in Realistic Market Cases = 326
Ⅳ Beyond the Standard Approach : Accounting for Smiles = 331
 11 Extending the Standard Approach - Ⅰ : CEV and Displaced Diffusion = 333
  11.1 Practical and Conceptual Implications of Non-Flat Volatility Smiles = 333
  11.2 Calculating Deltas and Other Risk Derivatives in the Presence of Smiles = 342
  11.3 Accounting for Monotonically Decreasing Smiles = 349
  11.4 Time-Homogeneity in the Context of Displaced Diffusions = 363
 12 Extending the Standard Approach - Ⅱ : Stochastic Instantaneous Volatilities = 367
  12.1 Introduction and Motivation = 367
  12.2 The Modelling Framework = 372
  12.3 Numerical Techniques = 382
  12.4 Numerical Results = 397
  12.5 Conclusions and Suggestions for Future Work = 413
 13 A Joint Empirical and Theoretical Analysis of the Stochastic-Volatility LIBOR Market Model = 415
  13.1 Motivation and Plan of the Chapter = 415
  13.2 The Empirical Analysis = 420
  13.3 The Computer Experiments = 437
  13.4 Conclusions and Suggestions for Future Work = 442
Bibliography = 445
Index = 453


관련분야 신착자료

Kostolany, André (2021)