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Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond /
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with lit...
| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton, N.J. :
Princeton University Press,
2002.
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| Colección: | Book collections on Project MUSE.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Frontmatter
- Contents
- Introduction
- Acknowledgements
- Part I. The Structure of the LIBOR Market Model
- Part II. The Inputs to the General Framework
- Part III. Calibration of the LIBOR Market Model
- Part IV. Beyond the Standard Approach: Accounting for Smiles
- Bibliography
- Index