利率モデル：理論と実際（第２版）
Interest Rate Models, Theory and Practice
With Smile, Inflation and Credit
Springer Finance
Brigo, Damiano
Mercurio, Fabio
- 出版社：Springer
- 出版年月：2006年 01月
- ISBN：9783540221494
- 装丁：HRD
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装丁について
- 版次：2ND
- 巻数・ページ数：982 p.
- 内容紹介：
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New features: The calibration discussion of the basic LIBOR market model has been enriched considerably; A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and more.