Cross Currency Libor Market Models

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Recent Developments in Computational Finance

Author : Thomas Gerstner
Publisher : World Scientific
ISBN 13 : 9814436429
Total Pages : 481 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Developments in Computational Finance by : Thomas Gerstner

Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Covered Interest Parity Deviations: Macrofinancial Determinants

Author : Mr.Eugenio M Cerutti
Publisher : International Monetary Fund
ISBN 13 : 1484395212
Total Pages : 36 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Covered Interest Parity Deviations: Macrofinancial Determinants by : Mr.Eugenio M Cerutti

Download or read book Covered Interest Parity Deviations: Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).

Mathematical Models of Financial Derivatives

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
ISBN 13 : 3540686886
Total Pages : 541 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Mathematical Models of Financial Derivatives by : Yue-Kuen Kwok

Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Modern Pricing of Interest-Rate Derivatives

Author : Riccardo Rebonato
Publisher : Princeton University Press
ISBN 13 : 1400829321
Total Pages : 486 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Modern Pricing of Interest-Rate Derivatives by : Riccardo Rebonato

Download or read book Modern Pricing of Interest-Rate Derivatives written by Riccardo Rebonato and published by Princeton University Press. This book was released on 2012-01-16 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The LIBOR Market Model in Practice

Author : Dariusz Gatarek
Publisher : John Wiley & Sons
ISBN 13 : 9780470014431
Total Pages : 0 pages
Book Rating : 4.0/5 (144 download)

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Book Synopsis The LIBOR Market Model in Practice by : Dariusz Gatarek

Download or read book The LIBOR Market Model in Practice written by Dariusz Gatarek and published by John Wiley & Sons. This book was released on 2007-01-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 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, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.

Arbitrage Theory in Continuous Time

Author : Tomas Björk
Publisher : OUP Oxford
ISBN 13 : 0191610291
Total Pages : 600 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Arbitrage Theory in Continuous Time by : Tomas Björk

Download or read book Arbitrage Theory in Continuous Time written by Tomas Björk and published by OUP Oxford. This book was released on 2009-08-06 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Mathematical Finance

Author : Christian Fries
Publisher : John Wiley & Sons
ISBN 13 : 9780470179772
Total Pages : 512 pages
Book Rating : 4.1/5 (797 download)

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Book Synopsis Mathematical Finance by : Christian Fries

Download or read book Mathematical Finance written by Christian Fries and published by John Wiley & Sons. This book was released on 2007-10-19 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.

Interest Rate Models - Theory and Practice

Author : Damiano Brigo
Publisher : Springer Science & Business Media
ISBN 13 : 354034604X
Total Pages : 1016 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Interest Rate Models - Theory and Practice by : Damiano Brigo

Download or read book Interest Rate Models - Theory and Practice written by Damiano Brigo and published by Springer Science & Business Media. This book was released on 2007-09-26 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Author : Cornelis W Oosterlee
Publisher : World Scientific
ISBN 13 : 1786347962
Total Pages : 1310 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee

Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Discounting, LIBOR, CVA and Funding

Author : C. Kenyon
Publisher : Springer
ISBN 13 : 1137268522
Total Pages : 280 pages
Book Rating : 4.1/5 (372 download)

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Book Synopsis Discounting, LIBOR, CVA and Funding by : C. Kenyon

Download or read book Discounting, LIBOR, CVA and Funding written by C. Kenyon and published by Springer. This book was released on 2012-08-06 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.

Mathematical Methods for Foreign Exchange

Author : Alexander Lipton
Publisher : World Scientific
ISBN 13 : 9789810246150
Total Pages : 702 pages
Book Rating : 4.2/5 (461 download)

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Book Synopsis Mathematical Methods for Foreign Exchange by : Alexander Lipton

Download or read book Mathematical Methods for Foreign Exchange written by Alexander Lipton and published by World Scientific. This book was released on 2001 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary mathematical, economic, and trading background carefully explained. In addition to the lucid treatment of the standard material, it describes many original results. The book can be used both as a text for students of financial engineering, and as a basic reference for risk managers, traders, and academics.

Multi-Asset Risk Modeling

Author : Morton Glantz
Publisher : Academic Press
ISBN 13 : 0124016944
Total Pages : 545 pages
Book Rating : 4.1/5 (24 download)

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Book Synopsis Multi-Asset Risk Modeling by : Morton Glantz

Download or read book Multi-Asset Risk Modeling written by Morton Glantz and published by Academic Press. This book was released on 2013-12-03 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

Analytical Finance: Volume II

Author : Jan R. M. Röman
Publisher : Springer
ISBN 13 : 3319525840
Total Pages : 741 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Analytical Finance: Volume II by : Jan R. M. Röman

Download or read book Analytical Finance: Volume II written by Jan R. M. Röman and published by Springer. This book was released on 2017-11-30 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: • Date arithmetic’s, quote types of interest rate instruments • The interbank market and reference rates, including negative rates• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments• Risk measures of IR instruments• Option Adjusted Spread and embedded options• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension• The Heath-Jarrow-Morton framework• Forward measures and general option pricing models• Black log-normal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Numerical Solution of Stochastic Differential Equations

Author : Peter E. Kloeden
Publisher : Springer Science & Business Media
ISBN 13 : 3662126168
Total Pages : 666 pages
Book Rating : 4.6/5 (621 download)

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Book Synopsis Numerical Solution of Stochastic Differential Equations by : Peter E. Kloeden

Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

FX Funding Risks and Exchange Rate Volatility–Korea’s Case

Author : Mr.Jack Ree
Publisher : International Monetary Fund
ISBN 13 : 1475565178
Total Pages : 29 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis FX Funding Risks and Exchange Rate Volatility–Korea’s Case by : Mr.Jack Ree

Download or read book FX Funding Risks and Exchange Rate Volatility–Korea’s Case written by Mr.Jack Ree and published by International Monetary Fund. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.

Global Banks and International Shock Transmission

Author : Nicola Cetorelli
Publisher : DIANE Publishing
ISBN 13 : 1437933874
Total Pages : 41 pages
Book Rating : 4.4/5 (379 download)

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Book Synopsis Global Banks and International Shock Transmission by : Nicola Cetorelli

Download or read book Global Banks and International Shock Transmission written by Nicola Cetorelli and published by DIANE Publishing. This book was released on 2010-11 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market (EM) economies. The authors examine adverse liquidity shocks on main developed-country banking systems and their relationships to EM across Europe, Asia, and Latin Amer., isolating loan supply from loan demand effects. Loan supply in EM across Europe, Asia, and Latin Amer. was affected significantly through three separate channels: (1) a contraction in direct, cross-border lending by foreign banks; (2) a contraction in local lending by foreign banks¿ affiliates in EM; and (3) a contraction in loan supply by domestic banks, resulting from the funding shock to their balance sheets induced by the decline in interbank, cross-border lending. Charts and tables.