Robust Libor Modelling and Pricing of Derivative Products
| Author | : John Schoenmakers |
| Publisher | : CRC Press |
| Total Pages | : 224 |
| Release | : 2005-03-29 |
| ISBN-13 | : 9780203499092 |
| ISBN-10 | : 0203499093 |
| Rating | : 4/5 (93 Downloads) |
Book Synopsis Robust Libor Modelling and Pricing of Derivative Products by : John Schoenmakers
Download or read book Robust Libor Modelling and Pricing of Derivative Products written by John Schoenmakers and published by CRC Press. This book was released on 2005-03-29 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
