Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II By Damiano Brigo, Fabio Mercurio. Basic concepts of stochastic modeling in interest rate theory, in particular the References. As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. Mercurio. Interest rate models—theory and practice.
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