Robust Libor Modelling and Pricing of Derivative Products
Download or Read eBook Robust Libor Modelling and Pricing of Derivative Products PDF 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.
| Author | : John Schoenmakers |
| Publisher | : CRC Press |
| Total Pages | : 224 |
| Release | : 2005-03-29 |
| ISBN-10 | : 9780203499092 |
| ISBN-13 | : 0203499093 |
| Rating | : 4/5 (92 Downloads) |
Book Synopsis Robust Libor Modelling and Pricing of Derivative Products by : John Schoenmakers
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
