Robust Libor Modelling and Pricing of Derivative Products

Discover the intricacies of financial modeling with "Robust Libor Modelling and Pricing of Derivative Products" by John Schoenmakers. Published by Taylor & Francis Inc in 2005, this insightful hardback offers 228 pages of in-depth analysis on Libor modeling and derivative pricing. The author presents various innovative approaches that significantly influence how we understand and apply the Libor market model.

This comprehensive text delves into economically sensible parameterizations and addresses important stability issues related to direct least-squares calibration methods. Furthermore, it covers essential topics such as European and Bermudan style exotic pricing, along with practical lognormal approximations. Perfect for finance professionals and mathematics enthusiasts alike, this book stands as a valuable resource in the realms of investment, securities, and mathematical modeling.

Enhance your understanding of the complex financial landscape with this essential guide for optimizing Libor model applications in derivative pricing.