libor market model, a new approach to the industry standard interest rate model. A two-factor model using recombining binomial tree, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR. Price bermudan swaptions.
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LIBOR Market Model :: LMM :: a new approach | libormarketmodel.com Reviews
https://libormarketmodel.com
libor market model, a new approach to the industry standard interest rate model. A two-factor model using recombining binomial tree, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR. Price bermudan swaptions.
libormarketmodel.com
LMM :: Libor Market Model :: a new approach :: about us
http://www.libormarketmodel.com/about.php
Dick works closely with Dan Stapleton, his son, who provides all programming and development services. After three years developing in the software industry, he currently works as a freelance programmer and web developer.
LMM : Libor Market Model : a new approach :: our model
http://www.libormarketmodel.com/model.php
Most multi-factor versions of the LMM use Monte-Carlo simulation to calculate the prices of interest-rate derivatives. The advantage of our recombining Markov model is that it produces a non-exploding state space. The model can price Bermudan-style swaptions off the tree of LIBOR rates and swap rates, whereas Monte-Carlo only provides bounds for the swaption prices. The model provides a fast, accurate pricing tool for complex derivatives.
LMM :: Libor Market Model :: a new approach :: about us
http://www.libormarketmodel.com/train.php
Interest-Rate Models and the Pricing of Derivatives:. Practical implementation and calibration methods. Review of interest-rate models: Purpose of the models, Spot-rate vs. forward-rate models, single-factor vs. multi-factor models. Standard models for valuation of caps, floors and swaptions. The Black model for pricing LIBOR futures options. All teaching is delivered by Professor Richard Stapleton. If you would like to register an interest in participating in any future courses on the Libor Market Model...
LMM :: Libor Market Model :: a new approach :: about us
http://www.libormarketmodel.com/consult.php
Professor Stapleton is available for consultancy on the Libor Market Model. This could include any of the following services:. Use of our model to audit your current systems. Advice on implementing a new solution. VBA / MS Excel Components for integration into current systems. We can work with you to develop your own customised solution. If you interested in any of these services then please fill in the contact form here. In the first instance.
LMM :: Libor Market Model :: a new approach :: about us
http://www.libormarketmodel.com/resources.php
Here are some relevant and interesting links and resources. Download The Latest Papers. The LIBOR Market Model: A Recombining Binomial Tree Methodology'. RC Stapleton and D.J. Stapleton (2003). Click Here (.pdf). A Multi-Factor Spot-Rate Model for the Pricing of Interest-rate Derivatives'. RC Stapleton, S. Peterson and M.G. Subrahmanyam (2003). Click Here (.pdf). Journal of Financial and Quantitative Analysis Vol. 38, No. 4, December 2003.
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Richard Stapleton - Professor of Finance - links
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The LIBOR Market Model. Site designed and maintained by danstapleton.com. All comments should be directed to the webmaster. Site contents © Richard Stapleton.
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LIBOR Market Model :: LMM :: a new approach
The LIBOR Market Model (LMM) is the industry standard model for pricing interest rate derivatives. Based on the Heath-Jarrow-Morton (HJM) forward rate approach, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR. Most implementations of the LIBOR Market Model (LMM) use Monte Carlo simulation to price European-style and Bermudan-style swaptions. Here we illustrate an alternative, re-combining binomial tree approach.
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