Robust Libor Modelling and Pricing of Derivative Products
1st Edition
Published on 29. March 2005
224 pages
978-1-135-43674-2 (ISBN)
Description
One of Riskbook.com's Best of 2005 - Top Ten Finance Books
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such
Reviews / Votes
"Schoenmakers' text is the definitive text on the Libor market model (and related models). He briefly reviews financial engineering theory, explains the HJM framework, describes several Libor market model implementations, and illustrates with practical pricing problems. ... His writing is minimalist but extremely well organized. Ideas progress from one to another in a clear mathematical progressing of theorems and proofs. ... For serious implementers, Schoenmakers is the essential book. If you have the financial engineering background to follow it, you will find his presentation a delightful read-clean, rigorous, and masterful."-Glyn Holton, Contingency Analysis, 2005
"This book provides an introduction to the Libor market model, one of the current tools for modeling interest rates and interest rate derivatives."
-Short Book Reviews of the ISI
More details
Series
Edition
1. Auflage
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
Applied mathematicians, statisticians, quants/groups in investment banks, graduate students and researchers
Product notice
Reflowable
Illustrations
12 s/w Abbildungen, 43 s/w Tabellen
12 b/w images and 43 tables
ISBN-13
978-1-135-43674-2 (9781135436742)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
John Schoenmakers
Robust Libor Modelling and Pricing of Derivative Products
Book
03/2005
1st Edition
Chapman & Hall/CRC
€200.56
Article not available at the moment
Content
Modelling of Effective Forward Rates. Parametrisation of Libor Market Models. Implied Calibration of a Libor Market Model to Caps and Swaptions. Pricing of Exotic Products. Pricing Long Dated Products via Libor Approximations. Concluding Remarks and Further Reading.
