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

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

Hardcover
ISBN13: 9780691089737
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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.

Type Book
Number Of Pages 486
Item Height 34 mm
Item Width 160 mm
Item Weight 819 Gram
Product Dimensions 160 x 34 x 236
Publisher Princeton University Press
Format Hardcover | 486