Modern Pricing of Interest-Rate Derivatives
Riccardo Rebonato
Princeton University Press, 2002
209,50 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9780691089737
- ISBN-10
- 0691089736
- Publisher
- Princeton University Press
- Year
- 2002
- Publication date
- 2002-11-24
- Pages
- 488
- Dimensions
- 164x238x22
- Weight
- 832