Robust Libor Modelling and Pricing of Derivative Products

Robust Libor Modelling and Pricing of Derivative Products
Author :
Publisher : CRC Press
Total Pages : 219
Release :
ISBN-10 : 9780203499092
ISBN-13 : 0203499093
Rating : 4/5 (093 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 219 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


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