Robust libor modelling and pricing of derivative products
Auteur :
Schoenmakers, John
Éditeur :
Taylor & Francis Inc
ISBN :
9781584884415
Date de publication :
29 mars 2005
Dimensions :
23,4 x 15,6 cm
Poids :
453 g
Langue :
Anglais
Pays d'origine :
USA
Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses 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.