49,99 €
inkl. MwSt.
Sofort per Download lieferbar
0 °P sammeln
Andere Kunden interessierten sich auch für
![SABR and SABR LIBOR Market Models in Practice (eBook, PDF)]( "SABR and SABR LIBOR Market Models in Practice (eBook, PDF)")
SABR and SABR LIBOR Market Models in Practice (eBook, PDF)67,95 €![Calibration and Parameterization Methods for the Libor Market Model (eBook, PDF)]( "Calibration and Parameterization Methods for the Libor Market Model (eBook, PDF)")
Calibration and Parameterization Methods for the Libor Market Model (eBook, PDF)53,49 €![Bedeutung und Manipulation des LIBOR (eBook, PDF)]( "Bedeutung und Manipulation des LIBOR (eBook, PDF)")
Bedeutung und Manipulation des LIBOR (eBook, PDF)18,99 €![The Repo as a Part of Shadow Banking. An Empirical and Regulatory Discussion (eBook, PDF)]( "The Repo as a Part of Shadow Banking. An Empirical and Regulatory Discussion (eBook, PDF)")
The Repo as a Part of Shadow Banking. An Empirical and Regulatory Discussion (eBook, PDF)29,99 €![Matching mechanisms in theory and practice (eBook, PDF)]( "Matching mechanisms in theory and practice (eBook, PDF)")
Matching mechanisms in theory and practice (eBook, PDF)36,99 €![Fiskalpolitik und Preisstabilität (eBook, PDF)]( "Fiskalpolitik und Preisstabilität (eBook, PDF)")
Fiskalpolitik und Preisstabilität (eBook, PDF)16,99 €![Managing Reputation in The Banking Industry (eBook, PDF)]( "Managing Reputation in The Banking Industry (eBook, PDF)")
Managing Reputation in The Banking Industry (eBook, PDF)96,29 €
Diploma Thesis from the year 2006 in the subject Economics - Monetary theory and policy, grade: 2.0, University of Frankfurt (Main), language: English, abstract: The goal of this thesis is to examine the LMM theoretically and apply practically to derivatives pricing. The input data structuring and calibration to market and historical data, implementing and pricing issues will be specifically investigated. This work begins with the comparison of the LMM to alternative interest rate models in chapter 2. A review of basic theory of the valuation of derivatives, which will be used in the next chapters, is presented in chapter 3. Theoretical description of the LMM is presented in the next chapter. Chapter 5 investigates several methods of calibrating directly to market cap and swaption prices. The way of obtaining the initial Libor yield curve is also summarized. In chapter 6 and 7 modeling of forward Libor rates volatility and correlation is presented. Hedging issues are to find in chapter 8. Chapter 9 covers pricing with the LMM by Monte Carlo simulations. This chapter presents the results of imple-menting the cascade calibration and of valuation of derivatives to illustrate the performance of the LMM. Finally the last chapter summarises and concludes the thesis.