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Board index » T2. MODELS OF INTEREST RATES » T24. Valuation of Interest Rate Derivatives with Inflation, Multiple Currencies, and Complex Payoffs

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Bond007
 Post subject: Brigo and Mercurio
PostPosted: Thu Jul 10, 2008 5:27 pm 

Joined: Wed Jun 18, 2008 3:31 pm
Posts: 11
Though the forum managers of this site have a decent Trilogy on fixed income, you should check out Brigo and Mercurio for pricing exotic interest rate options, and products related to inflation and multiple currencies.

http://www.amazon.com/dp/3540221492
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jimf
 Post subject: Re: Brigo and Mercurio
PostPosted: Thu Jul 10, 2008 8:18 pm 
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Joined: Thu Jun 19, 2008 6:56 pm
Posts: 22
I was not aware. Thanks for sharing this information.

JF :geek:
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Board index » T2. MODELS OF INTEREST RATES » T24. Valuation of Interest Rate Derivatives with Inflation, Multiple Currencies, and Complex Payoffs

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