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
Consider an information source with entropy rate H. By the source coding theorem, it is possible to design a source code with rate R which reconstructs the source sequence X =(X1,X2, ··· ,Xn) with an arbitrarily small probability of error provided R
Short term interest rate futures (STIR futures) are one of the largest financial markets in the world. The two main contracts, the Eurodollar and Euribor regularly trade in excess of one trillion dollars and euros of US and European interest rates e
