購物比價找書網找車網
FindBook  
 有 1 項符合

The SABR/LIBOR Market Model

的圖書
The SABR/LIBOR Market Model The SABR/LIBOR Market Model

作者:Riccardo Rebonato,Richard White,Kenneth McKay 
出版社:Wiley
出版日期:2011-03-01
語言:英文   
圖書選購
型式價格供應商所屬目錄
電子書
$ 2706
樂天KOBO 樂天KOBO
會計
圖書介紹 - 資料來源:樂天KOBO   評分:
圖書名稱:The SABR/LIBOR Market Model

This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface.

The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced.

Contents
THE THEORETICAL SET-UP
The Libor Market model
The SABR Model
The LMM-SABR Model

IMPLEMENTATION AND CALIBRATION
Calibrating the LMM-SABR model to Market Caplet prices
Calibrating the LMM/SABR model to Market Swaption Prices
Calibrating the Correlation Structure

EMPIRICAL EVIDENCE
The Empirical problem
Estimating the volatility of the forward rates
Estimating the correlation structure
Estimating the volatility of the volatility

HEDGING
Hedging the Volatility Structure
Hedging the Correlation Structure
Hedging in conditions of market stress

贊助商廣告
 
 
博客來 - 暢銷排行榜
制度基因:中國制度與極權主義制度的起源(平裝版)
作者:許成鋼
出版社:國立臺灣大學出版中心
出版日期:2024-11-29
$ 647 
Taaze 讀冊生活 - 暢銷排行榜
《貓卡龍》2025年掛曆【臺北市流浪貓保護協會】
作者:臺北市流浪貓保護協會/黃宇璇/劉智豪/陳婕瑀/李懿芳
出版社:最新期數:最新一期出版日期:出刊頻率:出刊類型:紙製用品>時效日/月/掛/桌曆選擇訂閱期數:完成付款後,新訂戶將由目前最新一期寄發,續訂戶若已取得最新一期,則會從下一期繼續寄發。×Previous
$ 280 
Taaze 讀冊生活 - 暢銷排行榜
張忠謀自傳:上冊 一九三一 ── 一九六四
作者:張忠謀
出版社:遠見天下文化出版股份有限公司
出版日期:2024-11-29
$ 276 
金石堂 - 暢銷排行榜
咒術迴戰 (首刷限定版) 28
作者:芥見下々
出版社:東立出版社
出版日期:2024-12-16
$ 119 
 
金石堂 - 新書排行榜
出軌的肉體
作者:荒井啟
出版社:暮想出版股份有限公司
出版日期:2024-11-14
$ 320 
Taaze 讀冊生活 - 新書排行榜
【頭薦骨療癒系列套書】(二冊):《頭薦骨療法》、《頭薦骨療癒書(二版)》
作者:丹尼爾.阿古斯托尼、凱特.麥金農
出版社:橡實文化
出版日期:2024-12-11
$ 630 
Taaze 讀冊生活 - 新書排行榜
引路人.卷8(突破四千萬瀏覽人次超人氣本土原創漫畫,影視改編進行中!)
作者:羅寶、桑原
出版社:奇幻基地
出版日期:2024-10-10
$ 299 
Taaze 讀冊生活 - 新書排行榜
剛剛好的自由:自律才能享受自由,讓孩子成為負責任的大人
作者:尚瑞君
出版社:時報文化出版企業股份有限公司
出版日期:2024-12-03
$ 266 
 

©2024 FindBook.com.tw -  購物比價  找書網  找車網  服務條款  隱私權政策