Robust Libor modelling and pricing of derivative products. (2005)

• Record Type: Book
• Further Information: Note: John Schoenmakers.
• Other Names: Schoenmakers, John
• Contents: Cover; Title; Copyright; Preface; Contents; List of Tables; List of Figures; Chapter 1: Arbitrage-Free Modelling of Effective Interest Rates; Chapter 2: Parametrisation of the Libor Market Model; Chapter 3: Implied Calibration of a Libor Market Model to Caps and Swaptions; Chapter 4: Pricing of Exotic European Style Products; Chapter 5: Pricing of Bermudan Style Libor Derivatives; Chapter 6: Pricing Long Dated Products via Libor Approximations; Appendix A: Appendix; References; Index.
• Publisher Details: Boca Raton, FL : Chapman & Hall/CRC
• Publication Date: 2005
• Extent: 1 online resource (xvi, 202 pages), illustrations
• Subjects: 332.64/57/0151; Interest rate futures -- Mathematical models; Interest rates -- Mathematical models; Derivative securities -- Prices -- Mathematical models; Derivative securities -- Prices -- Mathematical models; Interest rate futures -- Mathematical models; Interest rates -- Mathematical models; BUSINESS & ECONOMICS -- Investments & Securities -- General; Derivative securities -- Prices -- Mathematical models; Interest rate futures -- Mathematical models; Interest rates -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 0203499093; 9780203499092; 9781584884415
• Related ISBNs: 158488441X; 158488441X
• Notes: Note: Includes bibliographical references (pages 193-198) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.