Interest Rate Models Theory and Practice /

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 outpu...

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Bibliographic Details

Main Author:	Brigo, Damiano
Corporate Author:	SpringerLink (Online service)
Other Authors:	Mercurio, Fabio
Format:	eBook
Language:	English
Published:	Berlin, Heidelberg : Springer Berlin Heidelberg, 2001.
Series:	Springer finance.
Subjects:	Mathematics. Finance. Distribution (Probability theory) Electronic books.
Online Access:	Connect to the full text of this electronic book