Interest rate models -- theory and practice. With smile, inflation and credit

zbMATH Open1109.91023MaRDI QIDQ855091FDOQ855091

Authors: Damiano Brigo, Fabio Mercurio 

Publication date: 29 December 2006

Published in: Springer Finance (Search for Journal in Brave)

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zbMATH Keywords

creditvolatility smileinflationshort rate modelsmarket modelsintensity modelsno-arbitrage pricing

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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