A short rate model in the context of interest rate derivatives is a mathematical model that describes the future evolution of interest rates by describing the . Interest rate models from cole polytechnique fdrale de lausanne this course gives you an easy introduction to interest rates and related contracts. Amazoncom interest rate models theory and practice with smile inflation and credit springer finance 0003540221492 damiano brigo fabio mercurio books. Interest rate models introduction peter carr bloomberg lp and courant institute nyu based on notes by robert kohn courant institute nyu continuous time finance . Interest rate models paradigm shifts in recent years damiano brigo q sci managing director and global head derivativefitch 101 finsbury pavement london
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