LIBROS DEL AUTOR: irina goetsch

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  • Libor Market Model
    Irina Goetsch
    The Libor Market Model is a financial model used to price and hedge exoticinterest rate derivatives. The model is accepted and used widely due to itsconsistence with the standard market formula, Black’s cap (floor) formula.This compatibility simplifies the calibration because the Black’s quoted pricesfor standard interest rate derivatives can be directly used as an input for th...
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