The LIBOR Market Model in Practice

The LIBOR Market Model in Practice

Author(s): Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk

Published Online: 15 APR 2013 10:29AM EST

Print ISBN: 9780470014431

Online ISBN: 9781118673348

DOI: 10.1002/9781118673348

About this Book

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.

Table of contents

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  1. Part I: Theory

  2. Part II: Calibration

  3. Part III: Simulation

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    1. You have free access to this content