Free Modern Pricing Of Interest-Rate Derivatives: The LIBOR Market Model And Beyond Ebooks To Download

                
              
Free 
Modern Pricing Of Interest-Rate Derivatives: The LIBOR Market Model And Beyond Ebooks To Download
In recent years, interest-rate 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 interest-rate 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 stochastic-volatility, displaced-diffusion 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.
Hardcover: 488 pages
Publisher: Princeton University Press (November 24, 2002)
Language: English
ISBN-10: 0691089736
ISBN-13: 978-0691089737
Product Dimensions:  6.1 x 1.1 x 9.2 inches
Shipping Weight: 1.8 pounds (View shipping rates and policies)
Average Customer Review:  4.5 out of 5 stars  See all reviews (6 customer reviews)
Best Sellers Rank: #1,664,178 in Books (See Top 100 in Books)   #107 in Books > Business & Money > Economics > Interest   #236 in Books > Business & Money > Investing > Bonds   #2232 in Books > Textbooks > Business & Finance > Finance
My avid reading kept jostling out superb hot ideas from this book. Rebonato carries out a comprehensive survey of the LIBOR market model. He tackles historical background, calibration, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
This book is hands down the best I have read on the subject. Unlike many others who just list a bunch or definitions, theorems and the like, Rebonato does not go into the mathematical justification of every single point, but rather concentrates on the more important practical aspects like real-life implementation and calibration. Don't get me wrong, you WILL need to understand some serious math, but the book goes beyond that.Being a physicist, it reminds me of Feynman's books which, although they cover the same material as many others, give you that extra valuable insight into how all that math actually relates to what happens in practice.Worth every penny.
It's great as expected.
Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing (Applied Quantitative Finance) Valuation in a World of CVA and DVA: A Tutorial on Debt Securities and Interest Rate Derivatives Interest Rate Swaps and Other Derivatives (Columbia Business School Publishing) Interest Rate Swaps and Their Derivatives: A Practitioner's Guide Interest Rate Liberalization and Money Market Development: Proceedings of a Seminar Held in Beijing July/Augu Minding Mr. Market: Ten Years on Wall Street With Grant's Interest Rate Observer Valuation of Interest Rate Swaps and Swaptions Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance) Multiple Interest Rate Analysis: Theory and Applications (Palgrave Pivot) Interest Rate Markets: A Practical Approach to Fixed Income Interest Rate Models: An Introduction Interest Rate Modelling: Financial Engineering Interest Rate Cycles: An Introduction Interest Rate Management The rate of interest Insider Secrets From A Model Agent: How To Become A Successful Model (Modeling, Modelling, Model Agency) Public Interest Design Practice Guidebook: SEED Methodology, Case Studies, and Critical Issues (Public Interest Design Guidebooks) Financial Derivatives: Pricing, Applications, and Mathematics The 16% Solution: How to Get High Interest Rates in a Low-Interest World with Tax Lien Certificates, Revised Edition 