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The 2nd edition of this sucessful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.
The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of convertible bonds and inflation-linked derivatives.
Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS) and CDS Options - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.
Scientific Modeling and Simulations Автор: Yip S., de la Rubia T.D. (eds.) Год: 2009 |
The Effect of Housing Market Segmentation on Commuting Автор: Sungsoon Hwang Год: 2010 |
Nonparametric Regression Methods for Longitudinal Data Analysis: Mixed-Effects Modeling Approaches Автор: Wu H., Zhang J.-T. Год: 2006 |
Physiologically Based Pharmacokinetic Modeling Автор: Micaela Reddy Год: 2005 |
Riding the Bull, Beating the Bear: Market Timing for the Long-Term Investor Автор: Edward M. Yanis, Edward M. Yanis Год: 2000 |
A History of the Global Stock Market: From Ancient Rome to Silicon Valley Автор: B. Mark Smith Год: 2004 |