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Washington University - St. Louis - Fall 2012 | ||
Section 01 | ||
 | Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) (2nd Edition) by Damiano Brigo, Fabio Mercurio, Mercurio Brigo, Cram101 Textbook Reviews Hardcover, 982 Pages, Published 2006 ISBN-10: 3-540-22149-2 / 3540221492 ISBN-13: 978-3-540-22149-4 / 9783540221494 The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlat | |