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

by Damiano Brigo and Fabio Mercurio

Book Overview

When implementing mathematical models for pricing interest rate derivatives one must address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book explains how models work and how to implement them for concrete pricing.

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR...

• Format: Hardcover
• Language: English
• ISBN: 3540221492
• ISBN13: 9783540221494
• Release Date: August 2006
• Publisher: Springer
• Length: 982 Pages
• Weight: 3.60 lbs.
• Dimensions: 2.6" x 6.4" x 9.4"