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Zusatztext "Schoenmakers' text is the definitive text on the Libor market model (and related models). He briefly reviews financial engineering theory! explains the HJM framework! describes several Libor market model implementations! and illustrates with practical pricing problems. ? His writing is minimalist but extremely well organized. Ideas progress from one to another in a clear mathematical progressing of theorems and proofs. ? For serious implementers! Schoenmakers is the essential book. If you have the financial engineering background to follow it! you will find his presentation a delightful read-clean! rigorous! and masterful." -Glyn Holton! Contingency Analysis! 2005 "This book provides an introduction to the Libor market model! one of the current tools for modeling interest rates and interest rate derivatives."-Short Book Reviews of the ISI Informationen zum Autor Schoenmakers\! John Klappentext The Libor market model is still one of the most popular and advanced tools for modeling interest rates and interest rate derivatives. However! finding a useful procedure for calibrating the model has been a perennial problem. Robust Libor Modelling and Pricing of Derivative Products introduces a new approach and its impact on Libor derivative pricing. Intended for newcomers to financial mathematics and engineering! the book serves as a quick introduction to the area of interest rate modelling and pricing. It also provides an innovative treatment of issues concerning Libor calibration and the pricing of exotic instruments! that will appeal to more experienced practitioners in the field. Zusammenfassung Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations. Inhaltsverzeichnis Modelling of Effective Forward Rates. Parametrisation of Libor Market Models. Implied Calibration of a Libor Market Model to Caps and Swaptions. Pricing of Exotic Products. Pricing Long Dated Products via Libor Approximations. Concluding Remarks and Further Reading....
