About this title: 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 reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been ...
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Binding: Hardcover
Publisher: Springer
Date Published: 2001
ISBN-13:9783540417729ISBN:3540417729
Description: Very Good. Cover has slight edge wear. Light soiling on sides of book. Slight creasing or wear on corner of several pages. Pages are clean and unmarked. read more
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