{"product_id":"libor-market-model-simona-svoboda-greenwood-9783639170610","title":"LIBOR Market Model","description":"The LMM is an effective framework for the pricing of interest rate derivatives, not least because it models observable market quantities. There exist three main techniques for incorporating a volatility smile\/skew in any modelling framework: allowing a local volatility function, stochastic volatility and jump dynamics. Here various ways to incorporate smile\/skew are studied, loosely based on the above three approaches. Both the CEV and displaced-diffusion processes give rise to an implied volatility skew. The two processes produce closely matching prices for European call options over a variety of strikes and maturities. Here, this similarity in prices is analytically quantified using asymptotic expansion techniques. A regime shifting model may be viewed as a reduced form of a full stochastic volatility model. A two state, continuous time Markov Chain model, characterised by a time dependent volatility in each state is implemented. Finally, the Levy LIBOR model is considered as a generalisation of jump processes.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Simona Svoboda-Greenwood\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 363917061X\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783639170610\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e VDM Verlag\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 06\/28\/2009\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 188\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.62lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.00h x 6.00w x 0.43d","brand":"Simona Svoboda-Greenwood","offers":[{"title":"Paperback","offer_id":47305524379903,"sku":"9783639170610","price":73.44,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_090b38e5-370d-4732-a55e-97cfb2a07fbe.jpg?v=1758831119","url":"https:\/\/www.whiterainbookhouse.com\/products\/libor-market-model-simona-svoboda-greenwood-9783639170610","provider":"WR Book House","version":"1.0","type":"link"}