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"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
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. It fills some significant gaps in the literature, and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles.
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"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
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. It fills some significant gaps in the literature, and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles.
See all Product Description
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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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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