Interest Rate Models Theory and Practice - Springer Finance
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Published By Springer Berlin Heidelberg

9783662045558, 9783662045534

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Cases of Calibration of the LIBOR Market Model

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_7 ◽

2001 ◽

pp. 283-316 ◽

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Market Model ◽

Libor Market Model

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A Useful Calculation

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_14 ◽

2001 ◽

pp. 485-486

Author(s):

Damiano Brigo ◽

Fabio Mercurio

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Pricing Equity Derivatives under Stochastic Rates

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_12 ◽

2001 ◽

pp. 453-465 ◽

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Equity Derivatives

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Two-Factor Short-Rate Models

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_4 ◽

2001 ◽

pp. 127-171

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Short Rate Models

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Pricing Derivatives on Two Interest-Rate Curves

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_11 ◽

2001 ◽

pp. 421-451

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

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Monte Carlo Tests for LFM Analytical Approximations

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_8 ◽

2001 ◽

pp. 317-368

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Monte Carlo ◽

Analytical Approximations

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The LIBOR and Swap Market Models (LFM and LSM)

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_6 ◽

2001 ◽

pp. 183-282

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

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Other Interest-Rate Models

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_9 ◽

2001 ◽

pp. 369-374 ◽

Author(s):

Damiano Brigo ◽

Fabio Mercurio

Keyword(s):

Interest Rate ◽

Interest Rate Models

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Talking to the Traders

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_16 ◽

2001 ◽

pp. 493-499

Author(s):

Damiano Brigo ◽

Fabio Mercurio

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Definitions and Notation

Interest Rate Models Theory and Practice - Springer Finance ◽

10.1007/978-3-662-04553-4_1 ◽

2001 ◽

pp. 1-21 ◽

Author(s):

Damiano Brigo ◽

Fabio Mercurio

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