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Dariusz Gatarek - The LIBOR Market Model in Practice - 9780470014431 - V9780470014431
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The LIBOR Market Model in Practice

€ 110.23
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Description for The LIBOR Market Model in Practice Hardcover. 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. Series: Wiley Finance Series. Num Pages: 290 pages, Illustrations. BIC Classification: KFF. Category: (P) Professional & Vocational. Dimension: 250 x 172 x 22. Weight in Grams: 706.
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 ... Read more

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Product Details

Format
Hardback
Publication date
2006
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
290
Condition
New
Series
Wiley Finance Series
Number of Pages
296
Place of Publication
New York, United States
ISBN
9780470014431
SKU
V9780470014431
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50

About Dariusz Gatarek
PRZEMYSLAW BACHERT is a senior financial engineer in the Global Financial Services Risk Management Group at Ernst and Young. He holds his Ph.D. in economics from the University of Lodz. In his work Przemyslaw is responsible for structure derivatives valuation and implementation of risk management systems. He has spent the last six years working with financial institutions in the Europe ... Read more

Reviews for The LIBOR Market Model in Practice
"The real contribution of the book to the existing literature is the hands-on description of the calibration algorithms." (Financial Markets Portfolio Management, 2007)

Goodreads reviews for The LIBOR Market Model in Practice


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