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