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

by RiccardoRebonato (Author)

• Used

  Hardcover
  2002

  $12.48

  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.

• New

  Hardcover
  2002

  $145.44

  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.