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The LIBOR Market Model and its Application in the SAFEX-JIBAR Market


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  • Product Description

The main objective of this work is to construct and implement a LIBOR market model and a Swaptions market model for the South African market.In his Thesis, Victor Gumbo starts by recapitulating the basic theory of arbitrage pricing, forward measures and term structure models for zero-coupon bonds. He goes on to describe and analyze the LIBOR market models. Apart from the standard models, he goes on to discusses market practice and provides numerous formulae for pricing as well as terminal measure existence. In Chapter 3, he gives a similar outline for Swap Market models. It should be emphasized that these models are quite complicated from a theoretical point of view but Victor manages to give an extremely pedagical account of this difficult theory.

Product Specifications
SKU :COC70138
AuthorVictor Gumbo
Number of Pages100
Publishing Year2011-05-30T00:00:00.000
Edition1 st
Book TypePrimary industries
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00
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