Interest Rate Models Theory and Practice
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 insta
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Damiano Brigo
Fabio Mercurio
Interest Rate Models Theory and Practice
Springer
Damiana Briga Fabia Mercuria BancaIMI San Paolo IMI Group Corso Matteotti 6 20121 Milan
Italy e-mail: [email protected] [email protected]
Mathematics Subject Classification (2000): 6OHlO, 60H35, 62P05, 65C05, 65C20, 90A09 JEL C1assification: G12, G13, E43
Cataloging-in-Publication Data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Brigo, Damiano: Interest rate models theory and practice I Damiano Brigo ; Fabio Mercurio. - Berlin; Heidelberg; New York; Barcelona; Hong Kong ; London; Milan; Paris; Singapore; Tokyo: Springer, 2001 (Springer finance)
ISBN 978-3-662-04555-8 ISBN 978-3-662-04553-4 (eBook) DOI 10.1007/978-3-662-04553-4 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, redtation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the GernIan Copyright Law.
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Springer-Verlag Berlin Heidelberg 2001
Originally published by Springer-Verlag Berlin Heidelberg New York in 2001. Softcover reprint ofthe hardcover I st edition 200 I The use of general descriptive names, registered names, trademarks etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relev
