Modern pricing of interest-rate derivatives : (Record no. 345616)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 02222 a2200193 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0691089736 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780691089737 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6323 |
| 090 ## - LOCALLY ASSIGNED LC-TYPE CALL NUMBER (OCLC); LOCAL CALL NUMBER (RLIN) | |
| -- | 3127 |
| -- | 3127 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Rebonato, Riccardo. |
| 245 10 - TITLE STATEMENT | |
| Title | Modern pricing of interest-rate derivatives : |
| Remainder of title | the libor market model and beyond / |
| Statement of responsibility, etc. | Riccardo Rebonato. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | [S.l.] : |
| Name of publisher, distributor, etc. | Princeton University Press, |
| Date of publication, distribution, etc. | 2002. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 480 p. ; |
| Dimensions | 24 cm. |
| 500 ## - GENERAL NOTE | |
| General note | Hardcover. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Materials specified | Amazon.com |
| Uniform Resource Identifier | <a href="http://www.amazon.com/exec/obidos/ASIN/0691089736/chopaconline-20">http://www.amazon.com/exec/obidos/ASIN/0691089736/chopaconline-20</a> |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Materials specified | Amazon customer reviews |
| Uniform Resource Identifier | <a href="http://www.chopac.org/cgi-bin/tools/azrev.pl?q=0691089736">http://www.chopac.org/cgi-bin/tools/azrev.pl?q=0691089736</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Institution code [OBSOLETE] | NBS |
| Koha item type | Book |
| Call number prefix | 332.6323 REB |
| Withdrawn status | Lost status | Damaged status | Not for loan | Permanent Location | Current Location | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Date last checked out | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Central Library (CL) | Central Library (CL) | 08/28/2013 | 1 | 332.6323 REB | NBS5849 | 11/22/2017 | 08/04/2017 | 08/28/2013 | Book |