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Interest Rate Models - Theory and Practice

Hardcover • 2006 • English • 2. edition

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

By Damiano Brigo, Fabio Mercurio

1 Ratings • 5.0 of 5

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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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Reviews · 0

1 Ratings • 5.0 of 5

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