The LIBOR Market Model in Practice

The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the mark...

The LIBOR Market Model in Practice

Robust Libor Modelling and Pricing of Derivative Products

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Robust Libor Modelling and Pricing of Derivative Products

The SABR/LIBOR Market Model

This book presents a major innovation in the interest rate space. It explains a financially motivat...

The SABR LIBOR Market Model