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 joining Ernst and Young Robert work in BRE Bank where he worked together with Dariusz Gatarek and he was engaged in quantitative research. Additionaly Robert is a teacher in the Ernst and Young Academy of Business for the Financial Engineering course which covers the LIBOR Market Model.
About the Authors.
PART I: THEORY.
1 Mathematics in a Pill.
2 Heath-Jarrow-Morton and Brace-Gatarek-Musiela Models.
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.