The LIBOR Market Model in Practice (Repost)

The LIBOR Market Model (LMM) is the first model of interest ratesdynamics consistent with the market practice of pricing interestrate derivatives and therefore it is widely used by financialinstitution for valuation of interest rate derivatives.
This book provides a full practitioner's approach to the LIBORMarket Model. It adopts the specific language of a quantitativeanalyst to the largest possible level and is one of first books onthe subject written entirely by quants. The book is divided intothree parts - theory, calibration and simulation. New and importantissues are covered, such as various drift approximations, variousparametric and nonparametric calibrations, and the uncertainvolatility approach to smile modelling; a version of the HJM modelbased on market observables and the duality between BGM and HJMmodels. Co-authored by Dariusz Gatarek, the 'G' in the BGM modelwho is internationally known for his work on LIBOR market models,this book offers an essential perspective on the global benchmarkfor short-term interest rates.