There's still time! Find the perfect Father's Day gift with store pickup | Shop NowThere's still time! Find the perfect Father's Day gift with store pickup | Shop Now
Add Item to wish listAdd Item to wish list

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

By Damiano Brigo, Fabio Mercurio
Paperback
$159.99
By Damiano Brigo, Fabio Mercurio
Promotion message icon
Premium Members save an extra 10% and all Members collect stamps to save with Rewards. 10 stamps = $5.Learn More
Formats
See All Formats & Editions
In stock
This item is currently out of stock online.
Free standard shipping on orders over $60
Select a store to view item availability.
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 outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique ha...

Categories