Interest rate models - theory and practice: with smile, inflation and credit
Auteur :
Brigo, Damiano / Mercurio, Fabio
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783540221494
Date de publication :
4 août 2006
Dimensions :
21,0 x 15,0 x 2,5 cm
Poids :
1872 g
Format :
Laminated cover
Langue :
Anglais
Pays d'origine :
USA
This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.