Interest Rate Models
Theory and Practice
Damiano Brigo, Fabio Mercurio (Kovakantinen)
Toimitusaika: 5-15 arkipäivää
Contains a calibration discussion of the basic LIBOR market model, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. This work also includes a discussion of historical estimation of the instantaneous correlation matrix and of rank reduction.
Virheilmoitus
