结果：找到“Libor Market Model”相关内容29个，排序为按回复时间降序，搜索更多相关帖子请点击“高级”
【独家发布】SABR and SABR LIBOR Market Models in Practice
4 个回复 - 1959 次查看 SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python Author(s): Christian Crispoldi, Gérald Wigger, Peter Larkin Series: Applied Quantitative Finance Publisher: P ...2019-12-16 12:58 - hhasoka - 教育经济学
4 个回复 - 1959 次查看 SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python Author(s): Christian Crispoldi, Gérald Wigger, Peter Larkin Series: Applied Quantitative Finance Publisher: P ...2019-12-16 12:58 - hhasoka - 教育经济学
Monte Carlo simulations to the Libor Market Model by MATLAB
1 个回复 - 3130 次查看 Apply Monte Carlo simulations to the Libor Market Model stochastic differential equation to model the expected value of a three-month spot rate 10 years from now! % GIVEN CODES f = repmat(0.05,4 ...2011-4-30 04:23 - mrchild - 投资人（实务版）
1 个回复 - 3130 次查看 Apply Monte Carlo simulations to the Libor Market Model stochastic differential equation to model the expected value of a three-month spot rate 10 years from now! % GIVEN CODES f = repmat(0.05,4 ...2011-4-30 04:23 - mrchild - 投资人（实务版）
Libor Market Model C code
4 个回复 - 2690 次查看 关于LMM的C语言代码。有需要的同学可以下载参考下。 注：从别处淘来，但是我忘了出处。很抱歉。2010-6-23 16:12 - wangbixiong - 计量经济学与统计软件
4 个回复 - 2690 次查看 关于LMM的C语言代码。有需要的同学可以下载参考下。 注：从别处淘来，但是我忘了出处。很抱歉。2010-6-23 16:12 - wangbixiong - 计量经济学与统计软件
【独家发布】Libor Market Model
4 个回复 - 3249 次查看 HJM 模型诞生后，由于在其框架下forward rate不能为lognormal，因为利率会是随着时间的推移变为无穷，HJM因此在论文里给forward rate加了一个上界，但是这个是一个非常丑陋的修正。因为这个原因，HJM无法直接和BS框架 ...2013-4-28 08:39 - Chemist_MZ - 宏观经济学
4 个回复 - 3249 次查看 HJM 模型诞生后，由于在其框架下forward rate不能为lognormal，因为利率会是随着时间的推移变为无穷，HJM因此在论文里给forward rate加了一个上界，但是这个是一个非常丑陋的修正。因为这个原因，HJM无法直接和BS框架 ...2013-4-28 08:39 - Chemist_MZ - 宏观经济学
免費 Pricing of Interest Rate Derivatives with the LIBOR Market Model
9 个回复 - 3273 次查看 Pricing of Interest Rate Derivatives with the LIBOR Market Model by Linus Kajsajuntti Abstract In the beginning of the 90's Heath, Jarrow and Morton (HJM) presented a revolutionary approach to in ...2009-8-2 11:16 - martinnyj - 金融学（理论版）
9 个回复 - 3273 次查看 Pricing of Interest Rate Derivatives with the LIBOR Market Model by Linus Kajsajuntti Abstract In the beginning of the 90's Heath, Jarrow and Morton (HJM) presented a revolutionary approach to in ...2009-8-2 11:16 - martinnyj - 金融学（理论版）
免費 A Stochastic Volatility LIBOR Market Model with a closed form solution
8 个回复 - 2927 次查看 A Stochastic Volatility LIBOR Market Model with a closed form solution by Hazim Nada Imperial College London Centre for Quantitative Finance 1 Introduction 6 2 Literature Review 9 2.1 Review ...2009-10-12 15:58 - martinnyj - 金融学（理论版）
8 个回复 - 2927 次查看 A Stochastic Volatility LIBOR Market Model with a closed form solution by Hazim Nada Imperial College London Centre for Quantitative Finance 1 Introduction 6 2 Literature Review 9 2.1 Review ...2009-10-12 15:58 - martinnyj - 金融学（理论版）
The SABRLIBOR Market Model
1 个回复 - 1330 次查看 The SABR LIBOR Market Model, one of the must read book for quant2016-10-14 13:35 - fymmwyw1 - 金融工程（数量金融）与金融衍生品
1 个回复 - 1330 次查看 The SABR LIBOR Market Model, one of the must read book for quant2016-10-14 13:35 - fymmwyw1 - 金融工程（数量金融）与金融衍生品
论坛首发：The SABR/LIBOR Market Model
3 个回复 - 1970 次查看 书名：The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives作者：Riccardo Rebonato, Kenneth McKay, Richard White ISBN: 978-0-470-74005-7 296 pages Mar ...2017-2-25 18:06 - Bumboo - 金融工程（数量金融）与金融衍生品
3 个回复 - 1970 次查看 书名：The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives作者：Riccardo Rebonato, Kenneth McKay, Richard White ISBN: 978-0-470-74005-7 296 pages Mar ...2017-2-25 18:06 - Bumboo - 金融工程（数量金融）与金融衍生品
The LIBOR Market Model in Practice
4 个回复 - 2749 次查看 The LIBOR Market Model in Practice Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk ISBN: 978-0-470-01443-1 290 pages December 2006 Description The LIBOR Market Model (LMM) i ...2014-3-23 23:46 - martinnyj - 金融学（理论版）
4 个回复 - 2749 次查看 The LIBOR Market Model in Practice Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk ISBN: 978-0-470-01443-1 290 pages December 2006 Description The LIBOR Market Model (LMM) i ...2014-3-23 23:46 - martinnyj - 金融学（理论版）
免費 The SABR/LIBOR Market Model
15 个回复 - 4589 次查看 The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate DerivativesRiccardo Rebonato (Author), Kenneth McKay (Author), Richard White (Author) Publication ...2012-11-24 22:47 - martinnyj - 金融学（理论版）
15 个回复 - 4589 次查看 The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate DerivativesRiccardo Rebonato (Author), Kenneth McKay (Author), Richard White (Author) Publication ...2012-11-24 22:47 - martinnyj - 金融学（理论版）
Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
12 个回复 - 3555 次查看 Rebonato R. Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond[M]. Princeton University Press, 2002. 有人反映这本书兼有实务的敏锐和理论的严谨。在论坛上查了一下，这个版本应 ...2017-5-20 10:32 - kongjih - 经济金融数学专区
12 个回复 - 3555 次查看 Rebonato R. Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond[M]. Princeton University Press, 2002. 有人反映这本书兼有实务的敏锐和理论的严谨。在论坛上查了一下，这个版本应 ...2017-5-20 10:32 - kongjih - 经济金融数学专区
LIBOR and Swap Market Models Monte Carlo Simulations
4 个回复 - 3487 次查看 学习LMM模型的好材料。 LIBOR and Swap Market Models for Pricing Interest Rate Derivatives Monte Carlo Simulations Contents Dedication i Acknowledgements ii Abstract iii Introduction 1 1 Elem ...2011-1-12 16:35 - qh19810 - 金融学（理论版）
4 个回复 - 3487 次查看 学习LMM模型的好材料。 LIBOR and Swap Market Models for Pricing Interest Rate Derivatives Monte Carlo Simulations Contents Dedication i Acknowledgements ii Abstract iii Introduction 1 1 Elem ...2011-1-12 16:35 - qh19810 - 金融学（理论版）
SABR and SABR LIBOR Market Models
83 个回复 - 4804 次查看 2015年最新教材，降价出售期已过，想要随时跟踪最新好书，请点击头像下方“加关注”。关注成功后，查看这里即可：三步走把千本好书“一网打尽”！。 欢迎订阅wwqqer文库！ [相关阅读] 【金融教材系列】（资料 ...2016-5-2 08:54 - wwqqer - 金融学（理论版）
83 个回复 - 4804 次查看 2015年最新教材，降价出售期已过，想要随时跟踪最新好书，请点击头像下方“加关注”。关注成功后，查看这里即可：三步走把千本好书“一网打尽”！。 欢迎订阅wwqqer文库！ [相关阅读] 【金融教材系列】（资料 ...2016-5-2 08:54 - wwqqer - 金融学（理论版）
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-f
1 个回复 - 624 次查看 【作者(必填)】Riccardo Rebonato 【文题(必填)】A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models[/backcolor] 【年份(必填)】2015 【全文链接 ...2017-2-25 17:55 - Bumboo - 文献求助专区
1 个回复 - 624 次查看 【作者(必填)】Riccardo Rebonato 【文题(必填)】A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models[/backcolor] 【年份(必填)】2015 【全文链接 ...2017-2-25 17:55 - Bumboo - 文献求助专区
Barrier Caps and Floors under the LIBOR Market Models
1 个回复 - 812 次查看 【作者(必填)】Chang, J.J., Chen, S.N., Wang, C.C., and Wu T.P[/backcolor] 【文题(必填)】Barrier Caps and Floors under the LIBOR Market Models with Double Exponential Jumps[/backcolor] 【年份(必填 ...2015-3-29 20:20 - lipj - 求助成功区
1 个回复 - 812 次查看 【作者(必填)】Chang, J.J., Chen, S.N., Wang, C.C., and Wu T.P[/backcolor] 【文题(必填)】Barrier Caps and Floors under the LIBOR Market Models with Double Exponential Jumps[/backcolor] 【年份(必填 ...2015-3-29 20:20 - lipj - 求助成功区
The Practicalities of Libor Market Models
0 个回复 - 1875 次查看 关于介绍 LMM 的材料，希望对读者有所帮助。 目录如下： I. Standard and skewed Libor market model dynamics 3 II. Derivation of the indirectly stochastic drift 16 III. Leaving the canon 22 IV ...2015-1-15 13:44 - chao.ma - 金融工程（数量金融）与金融衍生品
0 个回复 - 1875 次查看 关于介绍 LMM 的材料，希望对读者有所帮助。 目录如下： I. Standard and skewed Libor market model dynamics 3 II. Derivation of the indirectly stochastic drift 16 III. Leaving the canon 22 IV ...2015-1-15 13:44 - chao.ma - 金融工程（数量金融）与金融衍生品
Calibration and Parameterization Methods for the Libor Market Model (2014)
2 个回复 - 1778 次查看 Christoph Hackl, "Calibration and Parameterization Methods for the Libor Market Model" 2014 | ISBN-10: 3658046872 | 74 pages | PDF | 3,4 MB The Libor Market Model (LMM) is a mathematical mod ...2014-2-17 23:04 - koalachen2013 - 金融学（理论版）
2 个回复 - 1778 次查看 Christoph Hackl, "Calibration and Parameterization Methods for the Libor Market Model" 2014 | ISBN-10: 3658046872 | 74 pages | PDF | 3,4 MB The Libor Market Model (LMM) is a mathematical mod ...2014-2-17 23:04 - koalachen2013 - 金融学（理论版）
Pricing of range accrual swap in the quantum finance Libor Market Model
1 个回复 - 1213 次查看 【作者(必填)】 Belal E. Baaquiea, b, , Xin Dua, , , Pan Tangc, , Yang Caoa, 【文题(必填)】 Pricing of range accrual swap in the quantum finance Libor Market Model【年份(必填)】 2014 【全文链接或 ...2014-2-6 19:46 - qijiongli - 求助成功区
1 个回复 - 1213 次查看 【作者(必填)】 Belal E. Baaquiea, b, , Xin Dua, , , Pan Tangc, , Yang Caoa, 【文题(必填)】 Pricing of range accrual swap in the quantum finance Libor Market Model【年份(必填)】 2014 【全文链接或 ...2014-2-6 19:46 - qijiongli - 求助成功区
The SABR/LIBOR Market Model: Pricing, Calibration and Hedging
8 个回复 - 4405 次查看 The most recent and best book on Libor model with SABR The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover: 296 pages Publisher: Wiley (A ...2011-1-23 12:10 - ghlian - 金融学（理论版）
8 个回复 - 4405 次查看 The most recent and best book on Libor model with SABR The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover: 296 pages Publisher: Wiley (A ...2011-1-23 12:10 - ghlian - 金融学（理论版）
The LIBOR Market Model in Practice_2006
4 个回复 - 1941 次查看 The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives. The model was created in 1994 by Kristian Milters ...2010-3-11 11:23 - wsylovezx - 金融工程（数量金融）与金融衍生品
4 个回复 - 1941 次查看 The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives. The model was created in 1994 by Kristian Milters ...2010-3-11 11:23 - wsylovezx - 金融工程（数量金融）与金融衍生品
The SABR/LIBOR Market Model: Pricing, Calibration and Hedging
5 个回复 - 2905 次查看 网上找到的，便宜出售 The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover: 296 pages Publisher: Wiley (April 27, 2009) La ...2011-9-12 23:09 - DooSun - 金融学（理论版）
5 个回复 - 2905 次查看 网上找到的，便宜出售 The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover: 296 pages Publisher: Wiley (April 27, 2009) La ...2011-9-12 23:09 - DooSun - 金融学（理论版）
求： The SABR/LIBOR Market Model: Pricing, Calibration
1 个回复 - 2576 次查看 The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover: 296 pages Publisher: Wiley (April 27, 2009) Language: English ISBN-10: 0470740051 ISBN- ...2009-11-29 01:15 - fn11790 - 金融学（理论版）
1 个回复 - 2576 次查看 The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover: 296 pages Publisher: Wiley (April 27, 2009) Language: English ISBN-10: 0470740051 ISBN- ...2009-11-29 01:15 - fn11790 - 金融学（理论版）
关于libor market model 的问题
3 个回复 - 2277 次查看 现在要在二叉树(binomial tree)的方法，基于libor market model去算欧式、美式swaption的价格。但是苦于自己编程能力实在有限，不知道是否有人有这方面的程序或者书籍提供用以参考。谢谢2010-7-6 09:28 - penghao618 - 金融工程（数量金融）与金融衍生品
3 个回复 - 2277 次查看 现在要在二叉树(binomial tree)的方法，基于libor market model去算欧式、美式swaption的价格。但是苦于自己编程能力实在有限，不知道是否有人有这方面的程序或者书籍提供用以参考。谢谢2010-7-6 09:28 - penghao618 - 金融工程（数量金融）与金融衍生品
libor market model 的问题
0 个回复 - 1521 次查看 现在我正在研究LMM的（binomial tree）二叉树模型，但是苦于自己C++水平实在有限，不知道如何起手编程，不知是否有人可以提供code作为参考研究2010-7-4 05:49 - penghao618 - 爱问频道
0 个回复 - 1521 次查看 现在我正在研究LMM的（binomial tree）二叉树模型，但是苦于自己C++水平实在有限，不知道如何起手编程，不知是否有人可以提供code作为参考研究2010-7-4 05:49 - penghao618 - 爱问频道
求Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
6 个回复 - 4506 次查看 Who has the book? Please upload it. It must be selling well. Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato Hardcover: 480 pages Publisher: ...2008-2-18 09:19 - fengyun8323 - 金融学（理论版）
6 个回复 - 4506 次查看 Who has the book? Please upload it. It must be selling well. Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato Hardcover: 480 pages Publisher: ...2008-2-18 09:19 - fengyun8323 - 金融学（理论版）
