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

by Damiano Brigo and Fabio Mercurio

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 3662517434
• ISBN13: 9783662517437
• Release Date: October 2016
• Publisher: Springer
• Length: 982 Pages
• Weight: 3.14 lbs.
• Dimensions: 2.0" x 6.1" x 9.2"