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Modern Pricing Of Interest-Rate Derivatives

The Libor Market Model And Beyond

by Riccardo Rebonato
language: english
Publisher: Princeton University Press, November of 2002 ‧
220,36€
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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.

Modern Pricing Of Interest-Rate Derivatives

The Libor Market Model And Beyond

by Riccardo Rebonato

Property Description
ISBN: 9780691089737
Publisher: Princeton University Press
Release Date: November of 2002
Language: English
Cover: Hardcover
Pages: 488
Format: Book
Categories: Books in English > Economics, Finance and Accounting > Economy
EAN: 9780691089737