bookJan 1, 2006Closed access

Interest rate models : theory and practice : with smile, inflation and credit

DBDamiano BrigoFMFabio Mercurio

Abstract

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782
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Topics & keywords

Topics
Keywords
  • LIBOR market model
  • Libor
  • Stochastic volatility
  • Heath–Jarrow–Morton framework
  • SABR volatility model
  • Economics
  • Econometrics
  • Interest rate swap
UN Sustainable Development Goals
  • Decent work and economic growth
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