Modern Pricing of Interest-Rate Derivatives

Name: Modern Pricing of Interest-Rate Derivatives
Author: Riccardo Rebonato

The LIBOR Market Model and Beyond

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Gebonden, 488 blz. | EN

Princeton University Press | e druk, 2002

ISBN13: 9780691089737

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Princeton University Press e druk, 2002 9780691089737

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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.