The LIBOR Market Model in Practice

by Robert Maksymiuk, Dariusz Gatarek, Przemyslaw Bachert

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 0470014431
• ISBN13: 9780470014431
• Release Date: January 2007
• Publisher: Wiley
• Length: 296 Pages
• Weight: 1.56 lbs.
• Dimensions: 0.9" x 6.8" x 10.0"