The LIBOR Market Model in Practice / Wiley Finance Series (PDF)

Acknowledgments. About the Authors. Introduction. PART I: THEORY. 1 Mathematics in a Pill. 2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models. 3 Simulation. 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 Model. 12 Optimal Stopping and Pricing of Bermudan Options. 13 Using the LSM Approach for Derivatives Valuation. References. Index.

PRZEMYSLAW BACHERT is a senior financial engineer in the
Global Financial Services Risk Management Group at Ernst and Young.
He holds his Ph.D. in economics from the University of Lodz. In his
work Przemyslaw is responsible for structure derivatives valuation
and implementation of risk management systems. He has spent the
last six years working with financial institutions in the Europe
and Middle East to enhance their risk management capabilities
including Algorithmics parameterization. Prior to joining Ernst and
Young, Przemyslaw was a financial analyst at Bank Handlowy in
Warsaw (Citigroup) where he was responsible for quantitative
maintenance of front office system Kondor+. He is also a teacher in
the Ernst and Young Academy of Business for the Financial
Engineering course which covers the LIBOR Market Model.

DARIUSZ GATAREK is Credit Risk Analyst at Glencore UK
Ltd. In addition he is a professor at the WSB-National Louis
University and the Polish Academy of Sciences. He joined Glencore
UK Ltd from NumeriX LLC, where he was Director of Research
specializing in interest rate derivatives pricing. Before he was
involved in valuing derivatives and designing risk management
systems for capital adequacy within the consultancy Deloitte and
Touche and several banks. Dariusz has published a number of papers
on financial models of which perhaps his work with Alan Brace and
Marek Musiela on Brace-Gatarek-Musiela (BGM) models of interest
rates dynamics is the most well-known. He is a frequent speaker at
conferences worldwide.

ROBERT MAKSYMIUK is a senior financial engineer in the
Global Financial Services Risk Management Group at Ernst and Young
where he is responsible for structured derivatives pricing and
implementation of risk management systems for the clients. As
consultant he has worked for several financial institutions in the
Europe and Middle - East and his activity covered
implementation Algo Suite risk management system. Prior to

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