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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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2001.
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| Series: | Springer finance.
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| Online Access: | Connect to the full text of this electronic book |
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