The 2nd edition of this successful 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 outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduct...
Series: Springer Finance
Hardcover: 982 pages
Publisher: Springer; 2nd edition (August 2, 2006)
Product Dimensions: 6.1 x 2.1 x 9.2 inches
Amazon Rank: 156386
Format: PDF ePub TXT book
reviews: The modeling of interest rates is now a multi-million dollar business, and this is likely to grow in the years ahead as worries about quantitative easing, government budgets, housing markets, and corporate borrowing have shown no sign of abatement. T...
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