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Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond

Rebonato, Riccardo

Innbundet
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Leveringstid: 7-30 dager

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Omtale

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.

  • Utgivelsesdato:

    24.11.2002

  • ISBN/Varenr:

    9780691089737

  • Språk:

    , Engelsk

  • Forlag:

    Princeton University Press

  • Fagtema:

    Økonomi, finans, næringsliv og ledelse

  • Litteraturtype:

    Faglitteratur

  • Sider:

    488

  • Høyde:

    16.4 cm

  • Bredde:

    23.8 cm

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