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Modern Pricing of Interest-Rate Derivatives

By: Riccardo Rebonato (Author)

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Ksh 29,800.00

Format: Hardback or Cased Book

ISBN-13: 9780691089737

Publisher: Princeton University Press

Publication Date: Nov 24th, 2002

Weight: 832 grams

Dimension: 16.40 x 23.80 x 2.20 cms

Category: ECONOMICS

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Presents the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. This book talks about the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables.

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