Robust Libor Modelling and Pricing of Derivative Products
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A01=John Schoenmakers
A10 B10 C10 D10 E10
advanced interest rate derivatives modeling
Author_John Schoenmakers
Bermudan Swaptions
Black Volatilities
Caplet Volatilities
carlo
Category=KFFM
correlation
Correlation Structure
Data Sets
Derivative Products
Direct Simulation Method
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Euler Stepping
exotic options pricing
financial engineering
Forward Libor
Inter Bank
interest rate modeling
least squares calibration
Libor Market Model
Lognormal Approximations
market
Market Swaption
Martingale Representation Theorem
monte
Monte Carlo Trajectories
Optimal Stopping Time
quantitative finance
Robust Libor
scalar
Scalar Volatility
Snell Envelope
Spot Libor
stochastic calculus
structure
Swap Rate
swaption
Swaption Prices
Swaption Volatilities
tenor
volatilities
volatility
Volatility Structure
Product details
- ISBN 9781584884415
- Weight: 453g
- Dimensions: 156 x 234mm
- Publication Date: 29 Mar 2005
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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One of Riskbook.com's Best of 2005 - Top Ten Finance Books
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model.
Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include 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 suitable for the Libor market model.
A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles.
Schoenmakers\, John
