LEADER 05501nam 2200673 a 450 001 9910143707703321 005 20170815112945.0 010 $a1-118-67334-4 010 $a1-280-74002-7 010 $a9786610740024 010 $a0-470-06041-7 035 $a(CKB)1000000000357403 035 $a(EBL)284348 035 $a(OCoLC)85815261 035 $a(SSID)ssj0000191884 035 $a(PQKBManifestationID)11196937 035 $a(PQKBTitleCode)TC0000191884 035 $a(PQKBWorkID)10187159 035 $a(PQKB)10087445 035 $a(MiAaPQ)EBC284348 035 $a(EXLCZ)991000000000357403 100 $a20060823d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe LIBOR market model in practice$b[electronic resource] /$fDariusz Gatarek, Przemyslaw Bachert and Robert Maksymiuk 210 $aChichester, England ;$aHoboken, NJ $cJohn Wiley & Sons$dc2006 215 $a1 online resource (292 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-01443-1 320 $aIncludes bibliographical references (p. [259]-265) and index. 327 $aThe LIBOR Market Model in Practice; Contents; Acknowledgments; About the Authors; Introduction; Part I THEORY; 1 Mathematics in a Pill; 1.1 Probability Space and Random Variables; 1.2 Normal Distributions; 1.3 Stochastic Processes; 1.4 Wiener Processes; 1.5 Geometric Wiener Processes; 1.6 Markov Processes; 1.7 Stochastic Integrals and Stochastic Differential Equations; 1.8 Ito's Formula; 1.9 Martingales; 1.10 Girsanov's Theorem; 1.11 Black's Formula (1976); 1.12 Pricing Derivatives and Changing of Numeraire; 1.13 Pricing of Interest Rate Derivatives and the Forward Measure 327 $a2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models2.1 HJM and BGM Models Under the Spot Measure; 2.2 Vasicek Model; 2.3 Cox-Ingersoll-Ross Model; 2.4 Black-Karasinski Model; 2.5 HJM and BGM Models under the Forward Measures; 3 Simulation; 3.1 Simulation of HJM and BGM Models under the Forward Measure; 3.2 Monte Carlo Simulation of Multidimensional Gaussian Variables; Random numbers generation; Principal Components Analysis (PCA); Cholesky decomposition; 3.3 Trinomial Tree Simulation of Multidimensional Gaussian Variables; 4 Swaption Pricing and Calibration 327 $a4.1 Linear Pricing in the BGM Model4.2 Linear Pricing of Swaptions in the HJM Model; 4.3 Universal Volatility Function; 4.4 Time Homogeneous Volatility; 4.5 Separated Volatility; Example of Separated Calibration; 4.6 Parametrized Volatility; 4.7 Parametric Calibration to Caps and Swaptions Based on Rebonato Approach; 4.8 Semilinear Pricing of Swaptions in the BGM Model; 4.9 Semilinear Pricing of Swaptions in the HJM Model; 4.10 Nonlinear Pricing of Swaptions; 4.11 Examples; 5 Smile Modelling in the BGM Model; 5.1 The Shifted BGM Model; 5.2 Stochastic Volatility for Long Term Options 327 $a5.3 The Uncertain Volatility Displaced LIBOR Market Model5.4 Mixing the BGM and HJM Models; 6 Simplified BGM and HJM Models; 6.1 CMS Rate Dynamics in Single-Factor HJM Model; 6.2 CMS Rate Dynamics in a Single Factor BGM Model; 6.3 Calibration; 6.4 Smile; Part II CALIBRATION; 7 Calibration Algorithms to Caps and Floors; 7.1 Introduction; 7.2 Market Data; Interpretation of ATM Swaption Quotes; 7.3 Calibration to Caps; 7.3.1 Caplet Values; 7.3.2 ATM Strikes for Caps; 7.3.3 Stripping Caplet Volatilities from Cap Quotes; 7.4 Non-Parametric Calibration Algorithms 327 $a7.4.1 Piecewise Constant Instantaneous Volatilities Depending on the Time to Maturity7.4.2 Piecewise Constant Instantaneous Volatilities Depending on the Maturity of the Underlying Forward Rate; 7.5 Conclusions; 8 Non-Parametric Calibration Algorithms to Caps and Swaptions; 8.1 Introduction; 8.2 The Separated Approach; 8.3 The Separated Approach with Optimization; 8.4 The Locally Single Factor Approach; 8.5 Calibration with Historical Correlations of Forward Rates; 8.6 Calibration to Co-Terminal Swaptions; 8.7 Conclusions 327 $a9 Calibration Algorithms to Caps and Swaptions Based on Optimization Techniques 330 $aThe LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, su 410 0$aWiley finance series. 606 $aInterest rates$xMathematical models 606 $aInterest rate futures$xMathematical models 608 $aElectronic books. 615 0$aInterest rates$xMathematical models. 615 0$aInterest rate futures$xMathematical models. 676 $a332.64570151 676 $a332.8011 700 $aGatarek$b Dariusz$0935699 701 $aBachert$b Przemyslaw$0935700 701 $aMaksymiuk$b Robert$0935701 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143707703321 996 $aThe LIBOR market model in practice$92107737 997 $aUNINA LEADER 00805nam a2200241 i 4500 001 991004346024707536 005 20241015162442.0 008 241015s2000 it er 001 0 ita d 040 $aBibl. Dip.le Aggr. Scienze Umane e Sociali$bita$cSocioculturale Scs 041 0 $aita 082 04$a398.2094575$223 100 1 $aD'Amaro, Sergio$0258253 245 10$aGargan river :$bvoci da un destino sommerso /$cSergio D'amaro ; introduzione di Raffaele Vescera 260 $a[Foggia] :$bProtagonisti,$cstampa 2000 300 $a74 p. ;$c16 cm 490 1 $aZeroasud ;$v8 500 $aSuppl. al n.44/200 di Protagonisti 651 4$aFoggia$xPersonaggi$xBiografie 700 1 $aVescera, Raffaele 830 0$aZeroasud ;$v8 912 $a991004346024707536 996 $aGargan river$94215600 997 $aUNISALENTO LEADER 03419nam 22006015 450 001 9910163012203321 005 20251230065111.0 024 7 $a10.1007/978-3-319-52171-8 035 $a(CKB)3710000001024862 035 $a(DE-He213)978-3-319-52171-8 035 $a(MiAaPQ)EBC4790245 035 $a(PPN)198340796 035 $a(EXLCZ)993710000001024862 100 $a20170120d2017 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aEmerging Trends in Electrical, Electronic and Communications Engineering $eProceedings of the First International Conference on Electrical, Electronic and Communications Engineering (ELECOM 2016), Bagatelle, Mauritius, November 25 -27, 2016 /$fedited by Peter Fleming, Nalinaksh Vyas, Saeid Sanei, Kalyanmoy Deb 205 $a1st ed. 2017. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2017. 215 $a1 online resource (XXV, 354 p. 181 illus.) 225 1 $aLecture Notes in Electrical Engineering,$x1876-1119 ;$v416 311 08$a3-319-52170-5 311 08$a3-319-52171-3 320 $aIncludes bibliographical references at the end of each chapters and index. 330 $aThe book reports on advanced theories and methods in two related engineering fields: electrical and electronic engineering, and communications engineering and computing. It highlights areas of global and growing importance, such as renewable energy, power systems, mobile communications, security and the Internet of Things (IoT). The contributions cover a number of current research issues, including smart grids, photovoltaic systems, wireless power transfer, signal processing, 4G and 5G technologies, IoT applications, mobile cloud computing and many more. Based on the proceedings of the first International Conference on Emerging Trends in Electrical, Electronic and Communications Engineering (ELECOM 2016), held in Voila Bagatelle, Mauritius from November 25 to 27, 2016, the book provides graduate students, researchers and professionals with a snapshot of the state-of-the-art and a source of new ideas for future research and collaborations. 410 0$aLecture Notes in Electrical Engineering,$x1876-1119 ;$v416 606 $aTelecommunication 606 $aApplication software 606 $aElectric power production 606 $aCommunications Engineering, Networks 606 $aComputer and Information Systems Applications 606 $aElectrical Power Engineering 615 0$aTelecommunication. 615 0$aApplication software. 615 0$aElectric power production. 615 14$aCommunications Engineering, Networks. 615 24$aComputer and Information Systems Applications. 615 24$aElectrical Power Engineering. 676 $a621.382 702 $aFleming$b Peter$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aVyas$b Nalinaksh$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aSanei$b Saeid$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aDeb$b Kalyanmoy$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910163012203321 996 $aEmerging Trends in Electrical, Electronic and Communications Engineering$92224599 997 $aUNINA