LIBROS DEL AUTOR: damiano brigo

3 resultados para LIBROS DEL AUTOR: damiano brigo

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  • Counterparty Risk and Funding
    Damiano Brigo / Stéphane Crépey / Tomasz R. Bielecki
    This book explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore ...
    Disponible

    109,75 €

  • Interest Rate Models - Theory and Practice
    Damiano Brigo / Fabio Mercurio
    The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matri...
    Disponible

    167,25 €

  • Interest Rate Models Theory and Practice
    Damiano Brigo / Fabio Mercurio
    The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matri...
    Disponible

    46,57 €