Interest Rate Models – Theory and Practice With Smile Inflation and Credit
The2ndeditionofthissuccessfulbookhasseveralnewfeatures.ThecalibrationdiscussionofthebasicLIBORmarketmodelhasbeenenrichedconsiderably,withananalysisoftheimpactoftheswaptionsinterpolationtechniqueandoftheexogenousinstantaneouscorrelationonthecalibrationoutputs.Adiscussionofhistoricalest