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Interest Rate Models Theory and Practice · Study

BookInterest Rate Models Theory and Practice

Damiano Brigo2001

Book2001

Interest Rate Models Theory and Practice

Damiano Brigo · Fabio Mercurio

1,148 citations·0/0 files stored·Springer finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk Management in Financial Firms

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2006A Benchmark Approach to Quantitative Finance 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2003Pricing and Hedging Spread Options 2009A comparison of biased simulation schemes for stochastic volatility models 2008Modelling and management of mortality risk: a review 2011On the Heston Model with Stochastic Interest Rates 2006Normal mixture GARCH(1,1): applications to exchange rate modelling 2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION

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Year2001

Typebook

Published2001-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations1,148

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-04553-4

openalex_workW1575658391

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