The LIBOR market model in practice

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Business & Economics - Mathematical Economics
The LIBOR market model in practice

The LIBOR market model in practice

Name: The LIBOR market model in practice
ISBN: 9780470060414

Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk

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The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives.

This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.

Thể loại:

Business & Economics - Mathematical Economics

Năm:

2007

Nhà xuát bản:

Wiley

Ngôn ngữ:

english

Trang:

291

ISBN 10:

0470060417