The LIBOR Market Model in Practice 1st edition by Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk ISBN 1118673348 9781118673348

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Product details:

ISBN 10: 1118673348
ISBN 13: 9781118673348
Author: Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk

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.

The LIBOR Market Model in Practice 1st Table of contents:

Part I : Theory

Part II : Calibration

Part III : Simulation

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Tags: Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk, The LIBOR, Market Model