Empirical Tests of Two State-variable Heath-Jarrow-Morton Models

Empirical Tests of Two State-variable Heath-Jarrow-Morton Models
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ISBN-10 : OCLC:1337817151
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Book Synopsis Empirical Tests of Two State-variable Heath-Jarrow-Morton Models by : Robert R. Bliss

Download or read book Empirical Tests of Two State-variable Heath-Jarrow-Morton Models written by Robert R. Bliss and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, wit