Interest Rate Models - Theory And Practice: With Smile, Inflation And Credit
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| Google books | books.google.com |
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| Originally published | August 9, 2001 |
| Authors | Damiano Brigo |
| Fabio Mercurio | |
| Date of Reg. | |
| Date of Upd. | |
| ID | 2114603 |
About Interest Rate Models - Theory And Practice: With Smile, Inflation And Credit
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. . . .