Interest Rate Models — Theory and Practice With Smile, Inflation and Credit /
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 outpu...
| Main Authors: | , |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2006.
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| Edition: | Second Edition. |
| Series: | Springer Finance
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| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
