Beschreibung
Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
30.01.2007
Verlag
WileySeitenzahl
290 (Printausgabe)
Dateigröße
3914 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9780470060414
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.
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.
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