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Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

Rebonato, Riccardo

Modern pricing of interest-rate derivatives : the LIBOR market model and beyond Riccardo Rebonato - Princeton, NJ Princeton University Press 2002 - xvii, 467 p. : ill. ; 23 cm

Includes bibliographical references (p. 445-452) and index

ISBN: 9780691089737

ISSN: 2003273032

Subjects--Topical Terms:
Interest rate futures
LIBOR market model

Dewey Class. No.: 332.6323 REB

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Modern pricing of interest-rate derivatives : the LIBOR market model and beyond

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