- Hardcover: 224 pages
- Publisher: Chapman and Hall/CRC (29 Mar 2005)
- Language English
- ISBN-10: 158488441X
- ISBN-13: 978-1584884415
- Product Dimensions: 23.6 x 16 x 1.8 cm
- Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)
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Amazon Bestsellers Rank:
1,523,970 in Books (See Top 100 in Books)
- #41 in Books > Business, Finance & Law > Professional Finance > Interest
- See Complete Table of Contents
Robust Libor Modelling and Pricing of Derivative Products
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Product Description
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
Product Description
One of Riskbook.com's Best of 2005 - Top Ten Finance Books
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model.
Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model.
A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles.
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model.
Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model.
A look at the available literature on Libor modelling shows that the issues surrounding instabilty of calibration and its consequences have not been well documented, and an effective general approach for treating Bermudan callable Libor products has been missing. This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles.
Inside This Book
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First Sentence
We here review some basic principles of arbitrage theory and derivative pricing. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
We here review some basic principles of arbitrage theory and derivative pricing. Read the first page
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Concordance
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Customer Reviews
Most Helpful Customer Reviews
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.
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.
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
1 review
0 of 2 people found the following review helpful
Good exposition
11 May 2006
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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