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Acknowledgments.
About the Authors.
Introduction.
PART I: THEORY.
1 Mathematics in a Pill.
2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models.
3 Simulation.
5 Smile Modelling in the BGM Model.
6 Simplified BGM and HJM Models.
PART II: CALIBRATION.
7 Calibration Algorithms to Caps and Floors.
8 Non-Parametric Calibration Algorithms to Caps and Swaptions.
9 Calibration Algorithms to Caps and Swaptions Based on Optimization Techniques.
PART III: SIMULATION.
10 Approximations of the BGM Model.
11 The One Factor LIBOR Markov Functional Model.
12 Optimal Stopping and Pricing of Bermudan Options.
13 Using the LSM Approach for Derivatives Valuation.
References.
Index.
| Price | Condition | Delivery | Seller | Action |
| $111.37 | Digital |
| WonderClub |
Christine Salberg
reviewed LIBOR Market Model in Practice on April 14, 2014
LIBOR Market Model in Practice
Nothing new or interesting in this book, very disappointed.
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Add LIBOR Market Model in Practice, 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. Thi, LIBOR Market Model in Practice to the inventory that you are selling on WonderClubX
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Add LIBOR Market Model in Practice, 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. Thi, LIBOR Market Model in Practice to your collection on WonderClub |