The LIBOR Market Model in Practice. (eBook, 2007) [WorldCat.org]
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The LIBOR Market Model in Practice.
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The LIBOR Market Model in Practice.

Author: Dariusz Gatarek; Przemyslaw Bachert; Robert Maksymiuk
Publisher: Hoboken John Wiley & Sons, Ltd 2007.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Dariusz Gatarek; Przemyslaw Bachert; Robert Maksymiuk
ISBN: 9781118673348 1118673344
OCLC Number: 951601798
Description: 1 Online-Ressource

Abstract:

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.

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