Innbundet • 2006 • Engelsk • 2. utgave

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

Name: Interest Rate Models - Theory and Practice
SKU: 9783540221494
Price: 449.0 NOK
Availability: InStock
Rating: 5 (1 reviews)
ISBN: 9783540221494

Av Damiano Brigo, Fabio Mercurio

1 vurderinger • 5.0 av 5

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Om boken

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...Vis mer

Om boken

ISBN

9783540221494

Forlag

Springer

Publiseringsår

2006

Språk

Engelsk

Utgave

Originaltittel

Interest Rate Models - Theory and Practice

Format

Innbundet

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1 vurderinger • 5.0 av 5

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