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eISBN : 9781400829323

Sommaire : Introduction
Acknowledgements
I. The Structure of the LIBOR Market Model

1. Putting the Modern Pricing Approach in Perspective
2. The Mathematical and Financial Set-up
3. Describing the Dynamics of Forward Rates
4. Characterizing and Valuing Complex LIBOR Products
5. Determining the No-Arbitrage Drifts of Forward Rates

II. The Inputs to the General Framework

6. Instantaneous Volatilities
7. Specifying the Instantaneous Correlation Function

III Calibration of the LIBOR Market Model

8. Fitting the Instantaneous Volatility Functions
9. Simultaneous Calibration to Market Caplet Prices and to an Exogenous Correlation Matrix
10 Calibrating a Forward-Rate-Based LIBOR Market Model to Swaption Prices

IV. Beyond the Standard Approach: Accounting for Smiles
11. Extending the Standard Approach - I: CEV and Displaced Diffusion
12. Extending the Standard Approach - II: Stochastic Instantaneous Volatilities
13. A Joint Empirical and Theoretical Analysis of the Stochastic-Volatility LIBOR Market Model
Bibliography
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque