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Search for author name: "John G. M. Schoenmakers" | Books found: 1
Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial …
Robust Libor Modelling and Pricing of Derivative Products (Chapman & Hall/CRC Financial Mathematics Series)
Author: John G. M. Schoenmakers | Publisher: Chapman & Hall/CRC
This is 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 as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoen makers and his colleagues developed a fast and robust implied method for calibrating the Libor…
Added: 10.05.2007ISBN: 158488441XPages: 224Price: £ 53,99Lang.: English 
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