Item description for Libor Market Model by Irina Goetsch...
The Libor Market Model is a financial model used to price and hedge exotic interest rate derivatives. The model is accepted and used widely due to its consistence with the standard market formula, Black's cap (floor) formula. This compatibility simplifies the calibration because the Black's quoted prices for standard interest rate derivatives can be directly used as an input for the model. The goal of this book is to examine the Libor Market Model theoretically and apply it practically to the pricing of standard caps, discrete barriers, European swaptions and ratchets. The dynamic of the Libor Market Model will be derived and all steps of its implementation using Monte Carlo simulation will be explained. Implementation is fulfilled using different volatility and correlation structuring. Certain care should be taken when calibrating the Libor Market Model and structuring the forward rate volatilities and correlations as they may affect prices of interest rate derivatives considerably. The book is aimed at graduate students of finance and practitioners implementing this model in practice. C source code, used for pricing interest rate derivatives in this book, may be ordered at the following web site: http://www.irina-goetsch.com/libor-market-model/
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Est. Packaging Dimensions: Length: 9.37" Width: 6.69" Height: 0.16" Weight: 0.53 lbs.
Release Date Feb 1, 2007
Publisher VDM Verlag Dr. Mueller e.K.
ISBN 3865507018 ISBN13 9783865507013
Availability 73 units. Availability accurate as of May 27, 2017 07:01.
Usually ships within one to two business days from La Vergne, TN.
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