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Robust Libor Modelling and Pricing of Derivative Products

By: John Schoenmakers (Author) , USA) Cont New York Rama (Columbia University (Author)

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Ksh 31,200.00

Format: Hardback or Cased Book

ISBN-13: 9781584884415

Publisher: Taylor & Francis Inc

Publication Date: Mar 29th, 2005

Dimension: 23.40 x 15.60 x 44.60 cms

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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.

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