Libor Market Model : Theory and Implementation

Irina Götsch

ISBN 10: 3865507018 / ISBN 13: 9783865507013

Edité par VDM Verlag Dr. Müller Nov 2006, 2006

Neuware - The Libor Market Model is a financial model used to price and hedge exotic interest rate derivatives. The model is accepted and used widely due to its consistence with the standard market formula, Black's cap (floor) formula. This compatibility simplifies the calibration because the Black's quoted prices for standard interest rate derivatives can be directly used as an input for the model. The goal of this book is to examine the Libor Market Model theoretically and apply it practically to the pricing of standard caps, discrete barriers, European swaptions and ratchets. The dynamic of the Libor Market Model will be derived and all steps of its implementation using Monte Carlo simulation will be explained. Implementation is fulfilled using different volatility and correlation structuring. Certain care should be taken when calibrating the Libor Market Model and structuring the forward rate volatilities and correlations as they may affect prices of interest rate derivatives considerably. The book is aimed at graduate students of finance and practitioners implementing this model in practice. N° de réf. du vendeur 9783865507013

Synopsis :

The Libor Market Model is a financial model used to price and hedge exotic interest rate derivatives. The model is accepted and used widely due to its consistence with the standard market formula, Black's cap (floor) formula. This compatibility simplifies the calibration because the Black's quoted prices for standard interest rate derivatives can be directly used as an input for the model. The goal of this book is to examine the Libor Market Model theoretically and apply it practically to the pricing of standard caps, discrete barriers, European swaptions and ratchets. The dynamic of the Libor Market Model will be derived and all steps of its implementation using Monte Carlo simulation will be explained. Implementation is fulfilled using different volatility and correlation structuring. Certain care should be taken when calibrating the Libor Market Model and structuring the forward rate volatilities and correlations as they may affect prices of interest rate derivatives considerably. The book is aimed at graduate students of finance and practitioners implementing this model in practice. C source code, used for pricing interest rate derivatives in this book, may be ordered at the following web site: http: //www.irina-goetsch.com/libor-market-model/

Détails bibliographiques

Titre : Libor Market Model : Theory and ...
Éditeur : VDM Verlag Dr. Müller Nov 2006
Date d'édition : 2006
Reliure : Taschenbuch
Etat : Neu