Robust Libor Modelling and Pricing of Derivative Products
| By: | John Schoenmakers |
| Publisher: | Taylor & Francis |
| Print ISBN: | 9781584884415 |
| eText ISBN: | 9781135436742 |
| Edition: | 1 |
| Copyright: | 2005 |
| Format: | Reflowable |
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One of Riskbook.com's Best of 2005 - Top Ten Finance BooksThe 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