Interest Rate Models — Theory and Practice With Smile, Inflation and Credit /

• Main Authors: Brigo, Damiano (Author), Mercurio, Fabio (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Edition: Second Edition.
• Series: Springer Finance
• Subjects: Mathematics.; Economics, Mathematical.; Probabilities.; Statistics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...