The Libor Market Model In Practice

Focuses on two modern models: Heath-Jarrow-Morton and Brace-Gatarek-Musiela. This work addresses practical issues: calibration, relations between HJM and BGM mo... » 

Focuses on two modern models: Heath-Jarrow-Morton and Brace-Gatarek-Musiela. This work addresses practical issues: calibration, relations between HJM and BGM models, and the accuracy and quality of pricing models. It introduces topics including stochastic volatility, recombining trees for HJM and BGM, and factor analysis. «