Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond

by Riccardo Rebonato

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to...

• Format: Hardcover
• Language: English
• ISBN: 0691089736
• ISBN13: 9780691089737
• Release Date: November 2002
• Publisher: Princeton University Press
• Length: 488 Pages
• Weight: 0.50 lbs.
• Dimensions: 1.4" x 6.5" x 9.4"