Interest rate models : theory and practice
The 2nd edition of this sucessful 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 output...
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| Autor principal: | |
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| Formato: | Livro |
| Idioma: | Undetermined |
| Publicado em: |
Berlin,New York
Springer
2001
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| Assuntos: | |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
|---|
| LEADER | 01544nam a2200229Ia 4500 | ||
|---|---|---|---|
| 001 | CTU_153072 | ||
| 008 | 210402s9999 xx 000 0 und d | ||
| 020 | |c 65.87 | ||
| 082 | |a 332.82 | ||
| 082 | |b B854 | ||
| 100 | |a Brigo, Damiano | ||
| 245 | 0 | |a Interest rate models : | |
| 245 | 0 | |b theory and practice | |
| 245 | 0 | |c Damiano Brigo, Fabio Mercurio. | |
| 260 | |a Berlin,New York | ||
| 260 | |b Springer | ||
| 260 | |c 2001 | ||
| 520 | |a The 2nd edition of this sucessful 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. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. | ||
| 650 | |a Interest rates,Derivative securities,Lãi suất | ||
| 650 | |x Mathematical models, Prices,Mathematical models,Mô hình toán học | ||
| 904 | |i Năm | ||
| 980 | |a Trung tâm Học liệu Trường Đại học Cần Thơ | ||