Modern pricing of interest-rate derivatives: the libor market model and beyond
Auteur :
Rebonato, Riccardo
Éditeur :
Princeton University Press
ISBN :
9780691089737
Date de publication :
24 nov. 2002
Dimensions :
23,5 x 15,2 cm
Poids :
851 g
Format :
B315
Langue :
Anglais
Pays d'origine :
USA
Presents the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. This book talks about the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables.