New book - The LIBOR Market Model in Practice by Gatarek, Bachert, Maksymiuk

Chukchi · June 19th, 2006, 10:27 pm

The LIBOR Market Model in Practiceby Dariusz Gatarek, Przemyslaw Bachert, Robert MaksymiukHardcover: 288 pages Publisher: John Wiley & Sons (August 18, 2006) ISBN: 0470014431 FinMath.com

WilmottBookshop · June 20th, 2006, 7:07 am

You can also purchase this title from the Wilmott bookshop at a competitive priceThe LIBOR Market Model in Practice

untwigged · June 20th, 2006, 10:27 am

Anyone had a look at it yet?

germoz · January 5th, 2007, 7:31 pm

any comment on the book??

Apprentice · October 28th, 2007, 10:10 pm

Has anyone read it ?

EFG · May 9th, 2008, 7:32 am

Nice one... indeed very helpful on the calibration phase... lacks "practical" details on simulation phase for simple products. ie.after you priced a simple swaption/cap/rachet/whatever how do you reprice it tomorrow ? or even when do you use short step/ large step method/ it doesnt have MC implementation times...on the simulation part there is no practicality at all. calibration is very very comprehensive to read..pb

Broardview · May 10th, 2008, 5:49 pm

does this book offer implemetation algorithm?

EFG · May 16th, 2008, 7:49 am

It is not very expensive, it is worth reading it! i suggest you bought it!Panagiotis