Chapman and Hall/CRC Financial Mathematics

1 total work

Robust Libor Modelling and Pricing of Derivative Products

by John Schoenmakers

Published 29 March 2005

One of Riskbook.com's Best of 2005 - Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such