The LIBOR Market Model in Practice

0 avg rating
( 0 ratings by Goodreads )
 
9780470014431: The LIBOR Market Model in Practice

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.

This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.

"synopsis" may belong to another edition of this title.

From the Inside Flap:

"This book is a valuable aid to interest-rate quants aiming at an efficient implementation of a LIBOR market model. The numerous recipes provided help develop robust calibration routines and time-saving pricing algorithms."
—Fabio Mercurio, PhD, Head of Financial Modelling, Banca IMI

"Is it coincidence or destiny that yet another group of BGM authors (Bachert, gatarek and Maksymiuk) formed, this time to write an unprecedented and already classic text book on market model theory? Providing numerous numerical illustrations, it forms the ideal starting point for anyone wanting to master market model skills."
—Raoul Pietersz 

"A book 'by quants for quants' with a number of recent developments concerning the LIBOR market model that have never been collected into a single source before. Unnecessary mathematical sophistication is avoided in order to allow as large a public as possible to benefit from the book, and a careful attention to market-driven problems avoids the introduction and development of theoretical tools that are never used in practice. This is an important addition to the available literature from one of the researchers who historically contributed to establish and formalise this increasingly central model for interest rate derivatives."
—Damiano Brigo, author of Interest Rate Models - Theory and Practice with Smile, Inflation and Credit

About the Author:

PRZEMYSLAW BACHERT is a senior financial engineer in the Global Financial Services Risk Management Group at Ernst and Young. He holds his Ph.D. in economics from the University of Lodz. In his work Przemyslaw is responsible for structure derivatives valuation and implementation of risk management systems. He has spent the last six years working with financial institutions in the Europe and Middle East to enhance their risk management capabilities including Algorithmics parameterization. Prior to joining Ernst and Young, Przemyslaw was a financial analyst at Bank Handlowy in Warsaw (Citigroup) where he was responsible for quantitative maintenance of front office system Kondor+. He is also a teacher in the Ernst and Young Academy of Business for the Financial Engineering course which covers the LIBOR Market Model.

DARIUSZ GATAREK is Credit Risk Analyst at Glencore UK Ltd. In addition he is a professor at the WSB-National Louis University and the Polish Academy of Sciences. He joined Glencore UK Ltd from NumeriX LLC, where he was Director of Research specializing in interest rate derivatives pricing. Before he was involved in valuing derivatives and designing risk management systems for capital adequacy within the consultancy Deloitte and Touche and several banks. Dariusz has published a number of papers on financial models of which perhaps his work with Alan Brace and Marek Musiela on Brace-Gatarek-Musiela (BGM) models of interest rates dynamics is the most well-known. He is a frequent speaker at conferences worldwide.

ROBERT MAKSYMIUK is a senior financial engineer in the Global Financial Services Risk Management Group at Ernst and Young where he is responsible for structured derivatives pricing and implementation of risk management systems for the clients. As consultant he has worked for several financial institutions in the Europe and Middle – East and his activity covered implementation Algo Suite risk management system. Prior to joining Ernst and Young Robert work in BRE Bank where he worked together with Dariusz Gatarek and he was engaged in quantitative research. Additionaly Robert is a teacher in the Ernst and Young Academy of Business for the Financial Engineering course which covers the LIBOR Market Model.

"About this title" may belong to another edition of this title.

Buy New View Book
List Price: US$ 141.00
US$ 99.15

Convert Currency

Shipping: FREE
From United Kingdom to U.S.A.

Destination, Rates & Speeds

Add to Basket

Top Search Results from the AbeBooks Marketplace

1.

Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk
Published by John Wiley and Sons Ltd, United Kingdom (2007)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover First Edition Quantity Available: 1
Seller:
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United Kingdom, 2007. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. 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. This book provides a full practitioner s approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the G in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates. Bookseller Inventory # AAH9780470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 99.15
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

2.

Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk
Published by John Wiley and Sons Ltd, United Kingdom (2007)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover First Edition Quantity Available: 1
Seller:
The Book Depository US
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United Kingdom, 2007. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. 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. This book provides a full practitioner s approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the G in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates. Bookseller Inventory # AAH9780470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 104.73
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Dariusz Gatarek
Published by John Wiley and#38; Sons (2006)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Quantity Available: > 20
Print on Demand
Seller:
Pbshop
(Wood Dale, IL, U.S.A.)
Rating
[?]

Book Description John Wiley and#38; Sons, 2006. HRD. Book Condition: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bookseller Inventory # IP-9780470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 100.75
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

4.

Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk
Published by Wiley 2006-12-08, Chichester (2006)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover Quantity Available: 10
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Wiley 2006-12-08, Chichester, 2006. hardback. Book Condition: New. Bookseller Inventory # 9780470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 99.17
Convert Currency

Add to Basket

Shipping: US$ 7.91
From United Kingdom to U.S.A.
Destination, Rates & Speeds

5.

Gatarek, Dariusz
Published by Wiley (2017)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover Quantity Available: 20
Print on Demand
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2017. Hardcover. Book Condition: New. Never used! This item is printed on demand. Bookseller Inventory # 0470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 107.97
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

6.

Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk
Published by Wiley (2007)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Wiley, 2007. Hardcover. Book Condition: New. 1. Bookseller Inventory # DADAX0470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 107.00
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

7.

Gatarek, Dariusz
Published by John Wiley & Sons (2016)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Paperback Quantity Available: 1
Print on Demand
Seller:
Ria Christie Collections
(Uxbridge, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons, 2016. Paperback. Book Condition: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Bookseller Inventory # ria9780470014431_lsuk

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 107.70
Convert Currency

Add to Basket

Shipping: US$ 5.10
From United Kingdom to U.S.A.
Destination, Rates & Speeds

8.

Dariusz Gatarek
Published by John Wiley & Sons
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover Quantity Available: 2
Seller:
THE SAINT BOOKSTORE
(Southport, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons. Hardcover. Book Condition: New. New copy - Usually dispatched within 2 working days. Bookseller Inventory # B9780470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 104.85
Convert Currency

Add to Basket

Shipping: US$ 9.15
From United Kingdom to U.S.A.
Destination, Rates & Speeds

9.

Dariusz Gatarek
Published by John Wiley and#38; Sons (2006)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Quantity Available: > 20
Print on Demand
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description John Wiley and#38; Sons, 2006. HRD. Book Condition: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Bookseller Inventory # IP-9780470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 104.69
Convert Currency

Add to Basket

Shipping: US$ 11.87
From United Kingdom to U.S.A.
Destination, Rates & Speeds

10.

Gatarek, Dariusz, Bachert, Przemyslaw, M
Published by Wiley (2017)
ISBN 10: 0470014431 ISBN 13: 9780470014431
New Hardcover Quantity Available: 2
Print on Demand
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2017. Hardcover. Book Condition: New. Never used! This item is printed on demand. Bookseller Inventory # P110470014431

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 132.17
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book