| #3538233 in Books | Springer | 2001-08-09 | Original language:English | PDF # 1 | 9.75 x6.50 x1.25l,2.12 | File type: PDF | 518 pages | ||0 of 0 people found the following review helpful.| it is nevertheless useful for someone who has a need for the underlying ...|By Daniel C|A solid, widely accepted reference on fixed income modeling. Written more from an academic's than practitioner's perspective, it is nevertheless useful for someone who has a need for the underlying theory.|0 of 0 people found the following review helpful.| Applica
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 gadget.Interest Rate Models | Damiano Brigo, Fabio Mercurio. A good, fresh read, highly recommended.
