The LIBOR Market Model in Practice 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Dariusz Gatarek 作者

Wiley

译者

2007-1-23 出版日期

290 页数

USD 141.00 价格

Hardcover

丛书系列

9780470014431 图书编码

The LIBOR Market Model in Practice 在线电子书图书标签: 金融 Finance

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The LIBOR Market Model in Practice 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

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The LIBOR Market Model in Practice 在线电子书著者简介

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The LIBOR Market Model in Practice 在线电子书 pdf 下载 txt下载 epub 下载 mobi 在线电子书下载

The LIBOR Market Model in Practice 在线电子书图书描述

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.

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