125,71 €
147,89 €
-15% su kodu: ENG15
LIBOR Market Model
125,71 € 
- Išsiųsime per 10–14 d.d.
The LMM is an effective framework for the pricing of interest rate derivatives, not least because it models observable market quantities. There exist three main techniques for incorporating a volatility smile/skew in any modelling framework: allowing a local volatility function, stochastic volatility and jump dynamics. Here various ways to incorporate smile/skew are studied, loosely based on the above three approaches. Both the CEV and displaced-diffusion processes give rise to an implied volat…
125.71
2025-07-20 23:59:00
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- Autorius: Simona Svoboda-Greenwood
- Leidėjas: VDM Verlag
- ISBN-10: 363917061X
- ISBN-13: 9783639170610
- Formatas: 15.2 x 22.9 x 1.1 cm, minkšti viršeliai
- Kalba: Anglų
- Extra -15 % nuolaida šiai knygai su kodu: ENG15
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Aprašymas
The LMM is an effective framework for the pricing of interest rate derivatives, not least because it models observable market quantities. There exist three main techniques for incorporating a volatility smile/skew in any modelling framework: allowing a local volatility function, stochastic volatility and jump dynamics. Here various ways to incorporate smile/skew are studied, loosely based on the above three approaches. Both the CEV and displaced-diffusion processes give rise to an implied volatility skew. The two processes produce closely matching prices for European call options over a variety of strikes and maturities. Here, this similarity in prices is analytically quantified using asymptotic expansion techniques. A regime shifting model may be viewed as a reduced form of a full stochastic volatility model. A two state, continuous time Markov Chain model, characterised by a time dependent volatility in each state is implemented. Finally, the Levy LIBOR model is considered as a generalisation of jump processes.EXTRA 15 % nuolaida su kodu: ENG15
125,71 €
147,89 €
Išsiųsime per 10–14 d.d.
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Nuolaidos kodas galioja perkant nuo 10 €. Nuolaidos nesumuojamos.
- Autorius: Simona Svoboda-Greenwood
- Leidėjas: VDM Verlag
- ISBN-10: 363917061X
- ISBN-13: 9783639170610
- Formatas: 15.2 x 22.9 x 1.1 cm, minkšti viršeliai
- Kalba: Anglų
The LMM is an effective framework for the pricing of interest rate derivatives, not least because it models observable market quantities. There exist three main techniques for incorporating a volatility smile/skew in any modelling framework: allowing a local volatility function, stochastic volatility and jump dynamics. Here various ways to incorporate smile/skew are studied, loosely based on the above three approaches. Both the CEV and displaced-diffusion processes give rise to an implied volatility skew. The two processes produce closely matching prices for European call options over a variety of strikes and maturities. Here, this similarity in prices is analytically quantified using asymptotic expansion techniques. A regime shifting model may be viewed as a reduced form of a full stochastic volatility model. A two state, continuous time Markov Chain model, characterised by a time dependent volatility in each state is implemented. Finally, the Levy LIBOR model is considered as a generalisation of jump processes.
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