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Interest rate modelling, Brigo, Mercurio, Pelsser.


Interest rate modelling for practical implication: Interest Rate Models by Damiano Brigo and Fabio Mercurio. Brigo_Mercurio.jpg

For a clear and conicse treatment we also suggest you Antoon Pelsser's Efficient Methods for Valuing Interest Rate Derivatives which is extremely interesting.

Pelsser.jpg

Posted by on March 2, 2005 9:07 PM |

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