Logotipo librería Marcial Pons
The LIBOR market model in practice

The LIBOR market model in practice

  • ISBN: 9780470014431
  • Editorial: John Wiley & Sons Limited
  • Lugar de la edición: New Jersey. Estados Unidos de Norteamérica
  • Encuadernación: Cartoné
  • Medidas: 25 cm
  • Nº Pág.: 269
  • Idiomas: Inglés

Papel: Cartoné
108,05 €
Sin Stock. Disponible en 3/4 semanas.


The LIBOR market model is an interest rate model that is used to price derivatives. Whilst the number of books on interest rate modeling is large, this is a reflection of the speed of development of the theory and market demand. This book will concentrate on two of the most modern models: Heath-Jarrow-Morton and Brace-Gatarek-Musiela. It will concentrate on practical issues: calibration, relations between HJM and BGM models and the accuracy and quality of pricing models. It will introduce new topics including stochastic volatility, recombining trees for HJM and BGM and factor analysis. This will be backed up by empirical examples and data.


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