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Interest rate models

Damiano Brigo, Fabio Mercurio · 2001

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About the book

This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models.

Book details

Year
2001
Language
English
Publisher
Springer
Editions
1
Pages
518
ISBN
9783540417729

Data source: Wikidata

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