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In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

Financial management --- Quantitative methods (economics) --- Interest rate futures. --- LIBOR market model. --- Interest rate futures --- 332.6323 --- Futures, Interest rate --- Financial futures --- LIBOR market model --- BGM model --- Brace Gatarek Musiela model --- Interest rates --- Mathematical models --- E-books --- Finances

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The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance and, especially for implementation, computer science is necessary. The book provides the necessary groundwork to understand the LMM and delivers a framework to implement a working model where possible calibration and parameterization methods for volatility and correlation are explained. Special emphasis lies also on the tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.   Contents   Libor Market Model implementation framework Speed vs. correctness Application examples and possible extensions     Target Groups Researchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics) Practitioners in the quantitative area of the financial services industry   The Author Christoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“.

LIBOR market model. --- Interest rate futures --- Mathematical models. --- Futures, Interest rate --- BGM model --- Brace Gatarek Musiela model --- Finance. --- Macroeconomics. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Interest rates --- Financial futures --- Mathematical models --- Economics --- Funding --- Funds --- Currency question

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International financial management --- International finance --- Actuarial mathematics --- Interest rate futures --- -332.632 --- Futures, Interest rate --- Options (Finance) --- Mathematical models --- Interest rates --- Taux d'intérêt --- Options (Finances) --- Modèles mathématiques --- Instruments financiers --- Taux d'intérêt --- Options (Finance) - Mathematical models - Mathematical models --- Interest rate futures - Mathematical models

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Finance --- Actuarial mathematics --- Interest rates --- Interest rate futures --- Taux d'intérêt --- Marchés à terme de taux d'intérêt --- Mathematical models. --- Modèles mathématiques --- Mathematical models --- -Interest rate futures --- -332.8015195 --- Futures, Interest rate --- Financial futures --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Taux d'intérêt --- Marchés à terme de taux d'intérêt --- Modèles mathématiques --- Interest rates - Mathematical models --- Interest rate futures - Mathematical models

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Financial futures --- Options (finance) --- Interest rate futures --- Foreign exchange --- Swaps (Finance) --- Hedging (Finance) --- Interest rate risk --- Accounting --- Options (Finance) --- -Swaps (Finance) --- 332.645 --- Risk --- Speculation --- Swap financing --- Derivative securities --- Finance --- Cambistry --- Currency exchange --- Exchange, Foreign --- Foreign currency --- Foreign exchange problem --- Foreign money --- Forex --- FX (Finance) --- International exchange --- International finance --- Currency crises --- Futures, Interest rate --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Investments --- Futures, Financial --- Futures --- Foreign exchange - Accounting