| #3188826 in Books | Springer | 2001-08-09 | Original language:English | PDF # 1 | 9.75 x6.50 x1.25l,2.12 | File type: PDF | 518 pages | ||6 of 7 people found the following review helpful.| Extremely detailed|By Dr. Lee D. Carlson|The modeling of interest rates is now a multi-million dollar business, and this is likely to grow in the years ahead as worries about quantitative easing, government budgets, housing markets, and corporate borrowing have shown no sign of abatement. The approach that the authors take in this book has been branded as too "theoretical" by s||From the reviews: SHORT BOOK REVIEWS "The text is no doubt my favorite on the subject of interest rate modeling. It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical
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 interp...
You can specify the type of files you want, for your device.Interest Rate Models | Damiano Brigo, Fabio Mercurio.Not only was the story interesting, engaging and relatable, it also teaches lessons.
