This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Thursday, September 04, 2008

LMM book with C sources

The goal of this book is to examine the Libor Market Model theoretically and apply it practically to the pricing of standard caps, discrete barriers, European swaptions and ratchets. The dynamic of the Libor Market Model will be deri- ved and all steps of its implementation using Monte Carlo simulation will be explained. Implementation is fulfilled using different volatility and correlation structuring. Certain care should be taken when calibrating the Libor Market Model and structuring the forward rate volatilities and correlations as they may affect prices of interest rate derivatives considerably. The book is aimed at graduate students of finance and practitioners implementing this model in practice.

It comes with C sources under GNU GPL, nice. I quickly looked at the code, and it seems to be written quite well for learning purposes. The book is very short, 120 pages. I'm going to buy it.

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