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9780470014431

Libor Market Model in Practice

Libor Market Model in Practice
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Product details

  • ISBN-13: 9780470014431
  • ISBN: 0470014431
  • Publication Date: 2007
  • Publisher: Wiley & Sons, Incorporated, John

AUTHOR

Gatarek, Dariusz, Bachert, Przemyslaw, Maksymiuk, Robert

SUMMARY

The LIBOR market model is an interest rate model that is used to price derivatives. This text concentrates on two of the most modern models - Heath-Jarrow-Morton and Brace-Gatarek-Musiela. It concentrates on practical issues including calibration, relations between HJM and BJM models and the accuracy and quality of pricing models.Gatarek, Dariusz is the author of 'Libor Market Model in Practice ', published 2007 under ISBN 9780470014431 and ISBN 0470014431.

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