Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial Mathematics Series) by John Schoenmakers

Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial Mathematics Series)



Download Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial Mathematics Series)




Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial Mathematics Series) John Schoenmakers
Language: English
Page: 16
Format: pdf
ISBN: 158488441X, 9781584884415
Publisher: Chapman and Hall/CRC

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.

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