The Libor Market Model in Practice; Contents; Acknowledgments; About the Authors; Introduction; 1 Mathematics in a Pill; 2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models; 3 Simulation; 4 Swaption Pricing and Calibration; 5 Smile Modelling in the Bgm Model; 6 Simplified Bgm and Hjm Models; Part Ii Calibration; 7 Calibration Algorithms to Caps and Floors; 8 Non-Parametric Calibration Algorithms to Caps and Swaptions; 9 Calibration Algorithms to Caps and Swaptions Based on Optimization Techniques; Part Iii Simulation; 10 Approximations of the Bgm Model.

11 The One Factor Libor Markov Functional Model12 Optimal Stopping and Pricing of Bermudan Options; 13 Using the Lsm Approach for Derivatives Valuation; References; Index.

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. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such.

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