Robust Libor Modelling and Pricing of Derivative Products
by John Schoenmakers | 1st Edition | Chapman & Hall | eText ISBN 9781135436742
One of Riskbook.com's Best of 2005 - Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of...
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One of Riskbook.com’s Best of 2005 – Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products suchAbout this book
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