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Libor Market Model


Marketed By :  AV Akademikerverlag   Sold By :  Kamal Books International  
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  • Product Description
Revision with unchanged content. The Libor Market Model is a financial model used to price and hedge exotic interest rate derivatives. The model is accepted and used widely due to its consistence with the standard market formula, Black’s cap (floor) formula. This compatibility simplifies the calibration because the Black’s quoted prices for standard interest rate derivatives can be directly used as an input for the model. The goal of this book is to examine the Libor Market Model theoretically and apply it practically to the pricing of standard caps, discrete barriers, European swaptions and ratchets. The dynamic of the Libor Market Model will be de­ri­ved and all steps of its implementation using Monte Carlo simulation will be explained. Implementation is fulfilled using different volatility and correlation structuring. Certain care should be taken when calibrating the Libor Market Model and structuring the forward rate volatilities and correlations as they may affect prices of interest rate derivatives considerably. The book is aimed at graduate students of finance and practitioners implementing this model in practice. C source code, used for pricing interest rate derivatives in this book, may be ordered at the following web site:
Product Specifications
SKU :COC13673
AuthorIrina Gotsch
Number of Pages124
Publishing Year3/19/2012
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandAV Akademikerverlag
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-24 00:00:00
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