Category

share

Dynamic Interest-Rate Modelling in Incomplete Markets

Dynamic Interest-Rate Modelling in Incomplete Markets

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

 
₹ 5,066

Availability: Out of stock

 

Delivery :

5% Cashback on all Orders paid using MobiKwik Wallet T&C

Free Krispy Kreme Voucher on all Orders paid using UltraCash Wallet T&C
Product Out of Stock Subscription

(Notify me when this product is back in stock)

  • Product Description
 
In the first Chapter, a new kind of additive process is proposed. We define, characterize and prove the existence of the LIBOR additive process as a new stochastic process. The proposed process is specifically designed to derive interest-rates modelling because it allows us to introduce a jump-term structure as an increasing sequence of Lévy measures. A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in the second Chapter. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure, and new conditions of weak convergence for price distributions with credit risk. Finally, in the third Chapter, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes.
Product Specifications
SKU :COC10871
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-24
0 Review(s)