Robust Libor Modelling and Pricing of Derivative Products

AvJohn Schoenmakers

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PDF, Engelska, 2005

Del i serien Chapman and Hall/CRC Financial Mathematics Series

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One of Riskbook.com''s Best of 2005 - Top Ten Finance Books

The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such