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挺老但仍然值得一读 与其他一些IR modeling书相比,这本书讲了很多LIBOR和Swap market model在实践中是怎么构建的。Calibration是很重要的实践过程, 但是讲模型的书经常略过了。这本书就是比较老一点,比较新的cap/swaption smiles calibration并没有提到。比较有意思的比如下面这个proposition, 其推论说明terminal correla...
当当中华商务进口图书旗舰店在线销售正版《海外直订Interest Rate Models - Theory and Practice: With Smile, Inflation and 利率模型-理论与实践:微笑、通货膨胀与信贷》。最新《海外直订Interest Rate Models - Theory and Practice: With Smile, Inflation and 利率
Real options valuation: the importance of interest rate modelling in theory and practice[M]. Berlin: Springer, 2005.Schulmerich, M. Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice; Springer Science & Business Media: Berlin, Germany, 2010....
Interest rate models : theory and practice : with smile, inflation, and credit = 利率模型理论和实 本书是一部详细讲述利率模型的书,旨在将该领域的理论和实践联系起来,在第一版的基础上增加了许多新特征.有关LIBOR市场模型中的"Smile"部分得到了极大的丰富,已有内容... DamianoBrigo,FabioMercurio - Interes...
Interest Rate Models — Theory and Practice and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit... D Brigo - Springer Berlin Heidelberg 被引量: 2159发表: 2006年 Out-of-Sample Performance of ...
Theory and practice blend quite well when one is studying interest rate parity. Early studies examined short-term interest rate parity relationships with mixed and uncertain results. Few, however, have examined interest rate parity conditions over a longer period. This study uses weekly data over an...
PUBLIC INTEREST LITIGATION: INSIGHTS FROM THEORY AND PRACTICE. The article offers insights on public interest litigation in an empirical and theoretical context. It examines how lawyers mobilize law to change instituti... Cummings,Scott,L.,... - 《Fordham Urban Law Journal》 被引量: 20发表: ...
Modern Pricing of Interest-Rate Derivatives 2024 pdf epub mobi 电子书 图书描述 In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been ...
3. Interest Rate Modeling(1/2 见/固定收益证券:Interest Rate (6)) 3. Interest Rate Modeling In implementing bond portfolio strategies there are two important activities that a manager will undertake. First, a manager will want to determine whether the bonds that are purchase and sale candidates...