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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| 第一著者: | |
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| フォーマット: | 図書 |
| 言語: | Undetermined |
| 出版事項: |
Berlin,New York
Springer
2001
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| 主題: | |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
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