Title
Modern Pricing Of Interestrate Derivatives: The Libor Market Model And Beyond,New
Delivery time: 8-12 business days (International)
In Recent Years, Interestrate 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 Interestrate 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 Stochasticvolatility, Displaceddiffusion 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.
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We ship your order within 2–3 business days for USA deliveries and 5–8 business days for international shipments. Once your package has been dispatched from our warehouse, you'll receive an email confirmation with a tracking number, allowing you to track the status of your delivery.
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We provide a 2-year limited warranty, from the date of purchase for all our products.
If you believe you have received a defective product, or are experiencing any problems with your product, please contact us.
This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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Your payment information is processed securely. We do not store credit card details nor have access to your credit card information.
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