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 - Softcover
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.
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About the Author
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.
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The LIBOR Market Model and its Application in the SAFEX-JIBAR Market
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LAP LAMBERT Academic Publishing Mai 2011, 2011
ISBN 10: 3838353722
ISBN 13: 9783838353722
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 100 pp. Englisch. Seller Inventory # 9783838353722
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The LIBOR Market Model and its Application in the SAFEX-JIBAR Market
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3838353722
ISBN 13: 9783838353722
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Softcover
Seller: moluna, Greven, Germany
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Gumbo VictorVictor 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 Mathemati. Seller Inventory # 5415776
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The LIBOR Market Model and its Application in the SAFEX-JIBAR Market
Published by
LAP LAMBERT Academic Publishing Mai 2011, 2011
ISBN 10: 3838353722
ISBN 13: 9783838353722
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 100 pp. Englisch. Seller Inventory # 9783838353722
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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
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3838353722
ISBN 13: 9783838353722
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9783838353722
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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
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3838353722
ISBN 13: 9783838353722
New
Taschenbuch
Seller: preigu, Osnabrück, Germany
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Taschenbuch. Condition: Neu. 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 | Victor Gumbo | Taschenbuch | 100 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783838353722 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Seller Inventory # 106957689