springer finance(共35册), 这套丛书还有 《Mathematical Models of Financial Derivatives》《Visual Explorations in Finance》《Term-Structure Models》《Irrational Exuberance Reconsidered》《Credit Risk Pricing Models》 等。 喜欢读"Interest Rate Models - Theory and Practice"的人也喜欢· ··· Stochastic...
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 correlation 总是小于instantaneous correlations. 它们不依赖于所使用的测度Qγ, 而且可以根据LFM的σ和ρ计算。因此,一旦L...
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
interest rate mode1s theory and practiceDamiano Brigo Fabio Mercurio
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 : with smile, inflation, and credit = 利率模型理论和实 This paper provides an accessible description and several examples of how to use Monte-Carlo simulation to value interest rate derivatives when the short r... DamianoBrigo,FabioMercurio - Interest ...
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...
In her thesis, Sandrine Hénon introduces a one factor LGM (Linear Gauss Markov) interest rate model with stochastic volatility . She gives a rather comple... DRV Deventer,K Imai,M Mesler 被引量: 0发表: 2013年 Interest Rate Models — Theory and Practice and since in the reduced-form model...
There are alsomulti-factor modelsthat have been proposed in the literature. The most common multi-factor model is a two-factor model where a long-term rate is the second factor. In practice, however, one-factor models are used because of the difficulty of applying even a two-factor model ...
Theory, Research and PracticeBook © 2016 Overview Authors: Tan Bee Tin 7610 Accesses 2 Altmetric This is a preview of subscription content, log in via an institution to check access. About this book This book explores the issues and concerns many language teachers have in not just helping...