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 swaption-volatility in...
[PDF.rw81] Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) Rating: 4.89 (594 Votes)
You easily download any file type for your gadget.Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) | Damiano Brigo, Fabio Mercurio. I really enjoyed this book and have already told so many people about it!
