The LIBOR Market Model and its Application in the SAFEX-JIBAR Market: We construct and implement LIBOR and Swaptions market models for the South African market - Couverture souple

Gumbo, Victor

 
9783838353722: The LIBOR Market Model and its Application in the SAFEX-JIBAR Market: We construct and implement LIBOR and Swaptions market models for the South African market
Couverture souple
ISBN 10 : 3838353722 ISBN 13 : 9783838353722
Editeur : LAP LAMBERT Academic Publishing, 2011

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Biographie de l'auteur

Victor Gumbo is a Zimbabwean national who studied undergraduate Mathematics in Cuba between 1988 and 1993. Thereafter he studied Hons Mathematics at the University of Zimbabwe (1995) before doing a Masters in Mathematics of Finance at the University of Pretoria, in 2002. He then went to do his PhD in Operations Research with UNISA.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3838353722
ISBN 13 
9783838353722
Reliure
Broché
Nombre de pages
100
Coordonnées du fabricant
non disponible
Personne responsable
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