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

Gumbo, Victor

Softcover

ISBN 10: 3838353722 ISBN 13: 9783838353722

Verlag: LAP LAMBERT Academic Publishing, 2011

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Reseña del editor:

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.

Biografía del autor:

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.

Über diese Auflage

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2011
• ISBN 10: 3838353722
• ISBN 13: 9783838353722
• Einband: Tapa blanda
• Anzahl der Seiten: 100