Robust Libor Modelling and Pricing of Derivative Products
ebook ∣ Chapman and Hall/CRC Financial Mathematics Series
By John Schoenmakers
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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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