{"product_id":"libor-market-model-9783639170610","title":"LIBOR Market Model","description":"\u003cp\u003e • Author(s): Simona Svoboda-Greenwood\u003cbr\u003e • Publisher: VDM Verlag\u003cbr\u003e • Publisher Imprint: VDM Verlag\u003cbr\u003e • BISAC: Probability \u0026amp; Statistics - General\u003c\/p\u003e\u003cp\u003eThe 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.\u003c\/p\u003e","brand":"VDM Verlag","offers":[{"title":"Paperback","offer_id":46882091368599,"sku":"9783639170610","price":6277.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9783639170610.webp?v=1770233751","url":"https:\/\/atlanticbooks.com\/products\/libor-market-model-9783639170610","provider":"Atlantic Books","version":"1.0","type":"link"}