Robust Libor Modelling and Pricing of Derivative Products (Chapman and Hall/CRC Financial Mathematics Series) One of Riskbook's Best of 2005 - Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding
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| Title | : | Robust Libor Modelling and Pricing of Derivative Products (Chapman and Hall/CRC Financial Mathematics Series) |
| Author | : | |
| Rating | : | 4.57 (476 Votes) |
| Asin | : | 158488441X |
| Format Type | : | Hardcover |
| Number of Pages | : | 224 Pages |
| Publish Date | : | 2005-03-29 |
| Genre | : |
Editorial : "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
One of Riskbook's Best of 2005 - Top Ten Finance BooksThe 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 as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues
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