BOOKS by Fabio Mercurio

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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit more books like this

by Damiano Brigo, Fabio Mercurio

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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 ...

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Interest Rate Models - Theory and Practice more books like this

by Damiano Brigo, Fabio Mercurio

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