Modern Pricing of Interest-rate Derivatives

Riccardo Rebonato

Presents the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. This book talks about the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables.
  • Limba : Engleza
  • Data Publicarii : 04 Nov 2002
  • Format : Hardback
  • Numar pagini : 488
  • ISBN : 9780691089737
Rating:
593.99 Lei
Disponibilitate : La comanda

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