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Hardcover • 2006 • English • 2. edition
By Damiano Brigo, Fabio Mercurio
1 Ratings • 5.0 of 5
About the book
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has bee...Show more
Book details
ISBN
9783540221494
Publisher
Springer
Published year
2006
Language
English
Edition
2
Original title
Interest Rate Models - Theory and Practice
Format
Hardcover
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1 Ratings • 5.0 of 5