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Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial Mathematics Series) [Kindle Edition]

John Schoenmakers (Author)

5.0 out of 5 stars See all reviews (1 customer review) |

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Length: 224 pages
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Review

"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

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Product details

Format: Kindle Edition
File Size: 14747 KB
Print Length: 224 pages
Publisher: CRC Press; 1 edition (16 April 2007)
Sold by: Amazon Media EU S.� r.l.
Language English
ASIN: B000Q361EA
Text-to-Speech: Not enabled

Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)

Amazon Bestsellers Rank: #301,254 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
- #45 in Books > Business, Finance & Law > Professional Finance > Interest

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Most Helpful Customer Reviews

A must-read for quants 26 Feb 2006

By "anchor101"

Format:Hardcover

As is nowadays well-known, the Libor market model (LMM) is the standard model we use for pricing and hedging interest rate derivatives. There isn't one single Libor market model though. Differences (quite often significant) occur as a result of the calibration procedure(s) applied. It is therefore important for practioners to understand fully how to calibrate such a model.
Schoenmakers' book describes LMM and its calibration aspects very well. It is really a must-read for quants who deal with the implementing of LMM on the trading desk.

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Amazon.com: 1 review

0 of 2 people found the following review helpful

Good exposition 11 May 2006

By jmathb - Published on Amazon.com

Format:Hardcover

The book is quite technical, but at the same time quite clear. It's definitely a good source to learn from.

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