Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

by Damiano Brigo and Fabio Mercurio

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Book Overview

When implementing mathematical models for pricing interest rate derivatives one must address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book explains how models work and how to implement them for concrete pricing.

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR...

Format:Paperback

Language:English

ISBN:3662517434

ISBN13:9783662517437

Release Date:October 2016

Publisher:Springer

Length:982 Pages

Weight:3.14 lbs.

Dimensions:2.0" x 6.1" x 9.2"

Related Subjects

Business Business & Finance Business & Investing Economics Finance Management & Leadership Math Mathematics Planning & Forecasting Popular Economics Science & Math Statistics

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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

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