The Libor Market Model is a financial model used to price and hedge exoticinterest rate derivatives. The model is accepted and used widely due to itsconsistence with the standard market formula, Black's cap (floor) formula.This compatibility simplifies the calibration because the Black's quoted pricesfor standard interest rate derivatives can be directly used as an input for themodel.The goal of this book is to examine the Libor Market Model theoretically andapply it practically to the pricing of standard caps, discrete barriers, Europeanswaptions and ratchets. The dynamic of the Libor Market Model will be derivedand all steps of its implementation using Monte Carlo simulation will beexplained. Implementation is fulfilled using different volatility and correlationstructuring. Certain care should be taken when calibrating the Libor MarketModel and structuring the forward rate volatilities and correlations as theymay affect prices of interest rate derivatives considerably. The book is aimedat graduate students of finance and practitioners implementing this model inpractice.C source code, used for pricing interest rate derivatives in this book, may beordered at the following web site:http://www.irina-goetsch.com/libor-market-model/
The Libor Market Model is a financial model used to price and hedge exoticinterest rate derivatives. The model is accepted and used widely due to itsconsistence with the standard market formula, Black's cap (floor) formula.This compatibility simplifies the calibration because the Black's quoted pricesfor standard interest rate derivatives can be directly used as an input for themodel.The goal of this book is to examine the Libor Market Model theoretically andapply it practically to the pricing of standard caps, discrete barriers, Europeanswaptions and ratchets. The dynamic of the Libor Market Model will be derivedand all steps of its implementation using Monte Carlo simulation will beexplained. Implementation is fulfilled using different volatility and correlationstructuring. Certain care should be taken when calibrating the Libor MarketModel and structuring the forward rate volatilities and correlations as theymay affect prices of interest rate derivatives considerably. The book is aimedat graduate students of finance and practitioners implementing this model inpractice.C source code, used for pricing interest rate derivatives in this book, may beordered at the following web site:http://www.irina-goetsch.com/libor-market-model/
This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla...
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...
Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut für Gesellschafts- und Wirtschaftswissenschaften, Statistische...
The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual...
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