£77.55

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£78 today · previous high £78 · all-time low £51

GRIN Verlag Zeitstetige Zinsstrukturmodelle - LIBOR-Markt-Modell von Brace, Gatarek und Musiela

Amazon

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 71 days · 71 data points (no recent data)

Historical
Generating forecast…
£77.55 £47.80 £54.29 £60.78 £67.27 £73.76 £80.26 31 July 2026 17 August 2026 04 September 2026 21 September 2026 09 October 2026
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Price Distribution

Price distribution over 71 days • 2 price levels

Days at Price
Current Price
64 days 7 days · current 0 16 32 48 64 £51 £78 Days at Price

Price Analysis

Most common price: £51 (64 days, 90.1%)

Price range: £51 - £78

Price levels: 2 different prices over 71 days

Description
Studienarbeit aus dem Jahr 2007 im Fachbereich BWL - Investition und Finanzierung, Note: 2,0, Johannes Gutenberg-Universität Mainz (Lehrstuhl für Finanzwirtschaft ), Veranstaltung: Seminar, Sprache: Deutsch, Abstract: Gegenstand dieser Arbeit ist die Darstellung des von Brace, Gatarek und Musiela (1997) vorgestellten LIBOR-Markt-Modells. Zunächst werden die zum Verständnis des Modells notwendigen finanzwirtschaftlichen Grundlagen ausführlich erläutert, Forward Rates werden definiert, Derivate auf die Zinsstruktur und zugehörige Portefeuilles aus Derivaten eingeführt und mit Hilfe von Zahlungsprofilen charakterisiert. Danach werden die erforderlichen mathematischen und stochastischen Konzepte beschrieben. Im Anschluss erfolgt ein Überblick über zeitstetige Zinsstrukturmodelle und eine Einordnung des BGM-Modells. Zur Beschreibung dieses Modells werden die grundlegenden Annahmen über die Zinskurve erläutert. Anschließend wird eine Formel zur Modellierung des Forward LIBOR nach Brace, Gatarek und Musiela hergeleitet und die zu Beginn eingeführten Derivate und zugehörige Portefeuilles bewertet. Darüber hinaus wird eine Möglichkeit der Kalibrierung des Modells erläutert, Kritikpunkte und Weiterentwicklungen des BGM-Modells werden aufgezeigt.

Product Specifications
Brand
GRIN Verlag
Format
paperback
ASIN
3638866335
Category
Books > Subjects > Business, Finance & Law > Professional Finance
Domain
Amazon UK
Release Date
29 November 2007
Listed Since
22 March 2010

Barcode

No barcode data available

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