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9 of 9 people found the following review helpful
5.0 out of 5 stars Libor Market Model demystified...what a nice book!, 16 April 2003
This review is from: Efficient Methods for Valuing Interest Rate Derivatives (Springer Finance) (Hardcover)
This book offer an excellent treatment of pricing models implementation for interest rate derivatives...the first 8 chapters cover with reasonable details classic term structure models (Vasickek, Hull-White, HJM) and introduces you to the martingale techniques (change of measure, change of numeraire theorem, Radon-Nykodym derivative...) for evaluating derivatives structure. This latter approach is compared with the PDE based approach giving you a nice picture of the whole story ..but the best part begins undoubtely with chapter 8 which gives a clear, accessible (well,the author assumes good background in stochastic calculus)to Libor and Swap Market Models. This part is enriched with practical examples dealing with the application of LMM and SMM to some exotic interest rate structures such as Barrier Caps, Ratchets and Spread Options. Even if this book misses a detailed treatment of swaption bermudan pricing (yeah, at least one negative point!) my opinion of this book is absolutely positive both for practioneers and students aiming to have a compact and readable treatment of these topics.
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5.0 out of 5 stars Definitive and Highly Readable, 2 Jun 2011
This review is from: Efficient Methods for Valuing Interest Rate Derivatives (Springer Finance) (Hardcover)
I think this text is the most underrated (or unrated) text in the financial maths universe! Its brevity is its strength. Dr Pelsser manages to say a lot with few, well-written words. (This distillation could have occurred only through successful teaching.) The coverage is comprehensive (e.g., measures, short-rate models, LMMs) and goes from derivation to calibration. I highly recommend this book, for when your copy of Brigo & Mercurio gets too heavy.
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