Robust Libor Modelling and Pricing of Derivative Products

Robust Libor Modelling and Pricing of Derivative Products

Auteur: John Schoenmakers
Uitgever: CRC Press
Editie: 1
Publicatiedatum: 2005
ISBN: 9781584884415

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One of Riskbook.com's Best of 2005 - Top Ten Finance Books The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such

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