 The LIBOR Market Model in Practice
ISBN: 978-0-470-01443-1
Hardcover
290 pages
January 2007
US $120.00
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About the Authors.
Introduction.
PART I: THEORY.
1 Mathematics in a Pill.
2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models.
3 Simulation.
5 Smile Modelling in the BGM Model.
6 Simplified BGM and HJM Models.
PART II: CALIBRATION.
7 Calibration Algorithms to Caps and Floors.
8 Non-Parametric Calibration Algorithms to Caps and Swaptions.
9 Calibration Algorithms to Caps and Swaptions Based on Optimization Techniques.
PART III: SIMULATION.
10 Approximations of the BGM Model.
11 The One Factor LIBOR Markov Functional Model.
12 Optimal Stopping and Pricing of Bermudan Options.
13 Using the LSM Approach for Derivatives Valuation.
References.
Index.
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