LIBOR Market Model in Practice, The

Gatarek, Dariusz Bachert, Przemyslaw Maksymiuk, Robert

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Éditeur
John Wiley & Sons Ltd
Pages
290
Parution
décembre 2006
Format
Cartonné
Langue
Anglais
Dimensions
249 × 175 × 22 cm
EAN
9780470014431
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  • Résumé

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 approach to the LIBOR Market Model.
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