10 ENGLISH BOOKS RELATING TO «LIBOR»
Discover the use of
LIBOR in the following bibliographical selection. Books relating to
LIBOR and brief extracts from same to provide context of its use in English literature.
1
Discounting,
Libor, CVA and Funding: Interest Rate and ...
Discounting, Libor, CVA and Funding explains details of Basel III that are important for pricing, especially around the CVA VaR and default exposure capital charges.This book will be required reading for quantitative practitioners who need ...
Chris Kenyon, Roland Stamm, 2012
2
The
LIBOR Market Model in Practice
This is an important addition to the available literature from one of the researchers who historically contributed to establish and formalise this increasingly central model for interest rate derivatives." —Damiano Brigo, author of ...
Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk, 2007
3
Modern Pricing of Interest-Rate Derivatives: The
LIBOR ...
Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model.
4
The SABR/
LIBOR Market Model: Pricing, Calibration and ...
This book presents a major innovation in the interest rate space.
Riccardo Rebonato, Kenneth McKay, Richard White, 2011
5
Libor Market Mode - Theory and Practice
The input data structuring and calibration to market and historical data, implementing and pricing issues will be specifically investigated. This work begins with the comparison of the LMM to alternative interest rate models in chapter 2.
6
Pricing Credit Derivatives in a '
Libor Market Model'
Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut fur Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography ...
7
Robust
Libor Modelling and Pricing of Derivative Products
This chapter is devoted to the pricing of Bermudan style Libor derivatives by
Monte Carlo methods. A Bermudan Libor derivative is an American option on a
pay-off function of forward Libors, which may be called at a finite number of
exercise ...
8
Calibration and Parameterization Methods for the
Libor ...
3. The. Libor. Market. Model. 3.1. Libor. Market. Model. Lj(t) is a martingale , as
stated in Definition 2.2.8, under the T j forward measure QTj, where we use the
shorthand notation Lj(t) for L(t,Tj−1,Tj), j=1,...,N. We assume that the differential of
Lj ...
9
Private Capital Markets: Valuation, Capitalization, and ...
The LIBOR rate quoted in the Wall Street Journal is the LIBOR posted by the
British Bankers' Association (BBA). Each day the Wall Street Journal publishes
the prior day's BBA LIBOR rate as part of the Money Rates table in the Money
and ...
10
The Danube: Environmental Monitoring Of An International River
The Danube river is one of the worlds greatest international freshwater resources, stretching halfway across Europe and passing through 11 countries with a catchment shared by 17 countries.
Libor Jansky, Masahiro Murakami, Nevelina I. Pachova, 2004
10 NEWS ITEMS WHICH INCLUDE THE TERM «LIBOR»
Find out what the national and international press are talking about and how the term
LIBOR is used in the context of the following news items.
Chair of Libor oversight committee, Joanna Perkins, exits
IBA was given responsibility for administering Libor on February 1, 2014, taking over from the British Bankers' Association. Libor is directly ... «Financial News, Jul 15»
Aston Villa striker Libor Kozak believes he will benefit from training …
Aston Villa striker Libor Kozak believes that facing new tough-tackling teammate Micah Richards in training will prove a huge benefit to his own ... «HITC, Jul 15»
Trader says efforts to move Libor had no impact on profits
Tom Hayes, the first trader to stand trial for rigging Libor, said his efforts to influence the rate over four years were ultimately unsuccessful. «HITC, Jul 15»
Deutsche Bank disputes regulator's Libor report allegations
In one particular case, Bafin said Deutsche Bank's legal head, Richard Walker, “failed to pay sufficient attention” to the Libor process. «Reuters, Jul 15»
Libor, FX Probe, A Public Apology: A Timeline of Martin Wheatley at …
September 2012 – Mr.Wheatley calls for a sweeping overhaul of Libor, wresting control from lobby group the British Bankers' Association, and ... «Wall Street Journal, Jul 15»
Libor trial: moving rates for profits was accepted, court hears
Koutsogiannis said he was present at a management meeting on Libor submission in August 2007. He said he was not aware of traders ... «Risk.net, Jul 15»
Gabriel Agbonlahor delighted by Libor Kozak return
Gabriel Agbonlahor delighted by Libor Kozak return. Libor Kozak in action for Aston Villa on December 21, 2013. © Getty Images ... «Sports Mole, Jul 15»
Tom Hayes says he was not alarmed by warnings over Libor fixings …
Tom Hayes, the first person to stand trial for Libor rigging, told a court he did not pay much attention to warnings from an interdealer broker he ... «Financial Times, Jul 15»
Hayes Says He Was Suicidal When He Confessed to Libor Rigging
Tom Hayes is a serial liar who changed his story multiple times to save himself amid a widening global scandal over the rigging of Libor, ... «Bloomberg, Jul 15»
Hundreds of businesses are trying to figure out whether UK banks …
But the LIBOR interest rate scandal - a seemingly separate issue - may have the potential to undo those settlements, sources tell Business ... «Businessinsider India, Jul 15»
