LIBOR Market Models and Smile : Latest Extensions and their Applications (The Wiley Finance Series)

Mercurio, Fabio

John Wiley & Sons Ltd（2006/12発売）

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製本 Hardcover:ハードカバー版／ページ数 416 p.
言語 ENG
商品コード 9780470025888
DDC分類 332.64570151

Full Description

LIBOR Market Models and Smile: Latest Extensions and their Applications describes the most popular extensions to the LIBOR market model and analyses their most practical behavior on market data. This allows readers to compare and understand the implications of their choice of model.