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Interest rates --- LIBOR market model. --- Mortgages --- Student loans --- Loans
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Interest rate futures --- LIBOR market model --- Mathematical models
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Interest rates --- LIBOR market model. --- Mortgages --- Student loans --- Loans
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Interest --- LIBOR market model. --- Adjustable rate mortgages --- Mortgage loans --- Mortgages --- Law and legislation
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This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedgin
Hedging (Finance) --- Options (Finance) --- Derivative securities --- Interest rate futures. --- LIBOR market model. --- Mathematical models. --- Prices --- Accounting.
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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.
Financial management --- Quantitative methods (economics) --- Interest rate futures. --- LIBOR market model. --- Interest rate futures --- 332.6323 --- Futures, Interest rate --- Financial futures --- LIBOR market model --- BGM model --- Brace Gatarek Musiela model --- Interest rates --- Mathematical models --- E-books --- Finances
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Interest --- LIBOR market model. --- Adjustable rate mortgages --- Mortgage loans --- Mortgages --- Law and legislation --- Law and legislation --- Law and legislation
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The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance and, especially for implementation, computer science is necessary. The book provides the necessary groundwork to understand the LMM and delivers a framework to implement a working model where possible calibration and parameterization methods for volatility and correlation are explained. Special emphasis lies also on the tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown. Contents Libor Market Model implementation framework Speed vs. correctness Application examples and possible extensions Target Groups Researchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics) Practitioners in the quantitative area of the financial services industry The Author Christoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“.
LIBOR market model. --- Interest rate futures --- Mathematical models. --- Futures, Interest rate --- BGM model --- Brace Gatarek Musiela model --- Finance. --- Macroeconomics. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Interest rates --- Financial futures --- Mathematical models --- Economics --- Funding --- Funds --- Currency question
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This book provides a compelling account of the rigging of benchmarks during and after the financial crisis of 2007-08. Written in clear language accessible to the non-specialist, it provides the historical context necessary for understanding the benchmarks -- LIBOR, FOREX and the Gold and Silver Fixes -- and shows how and why they have to be reformed in the face of rapid technological changes in markets. Though banks have been fined and a few traders have been jailed, justice will not be done until senior bankers are made responsible for their actions. Provocative and rigorously argued, this book makes concrete recommendations for improving the security of the financial services industry and holding bankers to account.
Banks and banking --- Banking law --- Global Financial Crisis, 2008-2009 --- LIBOR market model --- BGM model --- Brace Gatarek Musiela model --- Interest rates --- Global Economic Crisis, 2008-2009 --- Subprime Mortgage Crisis, 2008-2009 --- Financial crises --- Law, Banking --- Financial institutions --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Finance --- Money --- Corrupt practices --- History --- Corrupt practices&delete& --- Prevention --- Mathematical models --- Law and legislation --- Global Financial Crisis (2008-2009) --- E-books --- LIBOR market model. --- Global Financial Crisis, 2008-2009. --- Banking law. --- Prevention. --- FOREX. --- LIBOR. --- accountability. --- bankers. --- foreign exchange market. --- gold. --- manipulation. --- regulators. --- scandal. --- silver. --- traders.
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Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on t
Capital assets pricing model. --- Pricing --- Econometric models. --- Arbitrage. --- Asymptotic distribution. --- Autocorrelation. --- Autocovariance. --- Autoregressive conditional heteroskedasticity. --- Bayesian inference. --- Bayesian probability. --- Bond Yield. --- Capital asset pricing model. --- Central limit theorem. --- Collateral Value. --- Conditional expectation. --- Conditional probability distribution. --- Conditional variance. --- Consistent estimator. --- Correlation and dependence. --- Covariance function. --- Covariance matrix. --- Credit risk. --- Credit spread (options). --- Discount function. --- Discrete time and continuous time. --- Doubly stochastic model. --- Dynamic pricing. --- Econometric model. --- Economic equilibrium. --- Economics. --- Equity premium puzzle. --- Ergodic process. --- Estimation theory. --- Estimation. --- Estimator. --- Expectations hypothesis. --- Expected value. --- Forecasting. --- Forward price. --- Forward rate. --- General equilibrium theory. --- Generalized method of moments. --- High-yield debt. --- Inference. --- Interest rate risk. --- Interest rate. --- Investment Horizon. --- Investment strategy. --- Investor. --- Joint probability distribution. --- LIBOR market model. --- Leverage (finance). --- Likelihood function. --- Liquidity premium. --- Liquidity risk. --- Margin (finance). --- Marginal rate of substitution. --- Marginal utility. --- Market Risk Premium. --- Market capitalization. --- Market liquidity. --- Market portfolio. --- Market price. --- Market value. --- Markov model. --- Markov process. --- Mathematical finance. --- Monetary policy. --- Objective Probability. --- Option (finance). --- Parameter. --- Partial equilibrium. --- Portfolio insurance. --- Precautionary savings. --- Predictability. --- Preference (economics). --- Present value. --- Price index. --- Pricing. --- Principal component analysis. --- Probability. --- Real interest rate. --- Repurchase agreement. --- Revaluation of fixed assets. --- Risk aversion. --- Risk management. --- Risk premium. --- Skewness. --- Special case. --- Standard deviation. --- State variable. --- Statistic. --- Stochastic differential equation. --- Stochastic volatility. --- Supply (economics). --- Time series. --- Underlying Security. --- Utility maximization problem. --- Utility. --- Variable (mathematics). --- Vector autoregression. --- Yield curve. --- Yield spread.
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