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 approa...

Full description

Bibliographic Details

Main Author:	Gatarek, Dariusz
Other Authors:	Bachert, Przemyslaw, Maksymiuk, Robert
Format:	eBook
Language:	English
Language Notes:	English.
Published:	Chichester, England ; Hoboken, NJ : John Wiley & Sons, ©2006.
Series:	Wiley finance series.
Subjects:	LIBOR market model. Interest rates > Mathematical models. Interest rate futures > Mathematical models. Electronic books.
Online Access:	Connect to the full text of this electronic book