Libor Market Model

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato
English | Nov 24, 2002 | ISBN: 0691089736 | 488 Pages | PDF | 81 MB

The LIBOR Market Model in Practice  

Posted by AlenMiler at Oct. 12, 2014
The LIBOR Market Model in Practice

The LIBOR Market Model in Practice by Dariusz Gatarek
Wiley; 1 edition | January 23, 2007 | English | ISBN: 0470014431 | 290 pages | PDF | 4 MB

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.
Calibration and Parameterization Methods for the Libor Market Model [Repost]

Christoph Hackl - Calibration and Parameterization Methods for the Libor Market Model
Published: 2014-01-31 | ISBN: 3658046872 | PDF | 74 pages | 3 MB
Calibration and Parameterization Methods for the Libor Market Model

Christoph Hackl, "Calibration and Parameterization Methods for the Libor Market Model"
2014 | ISBN-10: 3658046872 | 74 pages | PDF | 3,4 MB

Robust Libor Modelling and Pricing of Derivative Products  

Posted by AlenMiler at Oct. 11, 2014
Robust Libor Modelling and Pricing of Derivative Products

Robust Libor Modelling and Pricing of Derivative Products by Schoenmakers John
Chapman & Hall/CRC | March 29, 2005 | Enblish | ISBN: 0203499093 | 224 pages | CHM | 3 MB

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.

Robust Libor Modelling and Pricing of Derivative Products  eBooks & eLearning

Posted by karapuzik at June 21, 2009
Robust Libor Modelling and Pricing of Derivative Products

Robust Libor Modelling and Pricing of Derivative Products
224 pages | CRC (Mar 2005) | 158488441X | PDF | 2.2 Mb

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.
SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python

SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance) by Christian Crispoldi, Gérald Wigger, Peter Larkin
2015 | ISBN: 1137378638 | English | 216 pages | PDF | 2 MB
The Interval Market Model in Mathematical Finance: Game-Theoretic Methods (repost)

The Interval Market Model in Mathematical Finance: Game-Theoretic Methods by Pierre Bernhard, Jacob C. Engwerda, Berend Roorda and J.M. Schumacher
English | ISBN: 0817683879 | 2013 | 360 pages | PDF | 3,6 MB

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or replace stochastic methods.
The Interval Market Model in Mathematical Finance: Game-Theoretic Methods [Repost]

Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J.M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin - The Interval Market Model in Mathematical Finance: Game-Theoretic Methods
Published: 2012-12-14 | ISBN: 0817683879 | PDF | 360 pages | 3 MB
The Interval Market Model in Mathematical Finance: Game-Theoretic Methods

Pierre Bernhard, "The Interval Market Model in Mathematical Finance: Game-Theoretic Methods"
English | ISBN: 0817683879 | 2013 | 360 pages | PDF | 3 MB