Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach by Markus Bouziane
English | PDF | 2008 | 207 Pages | ISBN : 3540770658 | 5.2 MB
In a hypothetical conversation between a trader in interest-rate derivatives and a quantitative analyst, Brigo and Mercurio (2001) let the trader answer about the pros and cons of short rate models: ”… we should be careful in thinking market models are the final and complete solution to all problems in interest rate models … and who knows, maybe short rate models will come back one day…”
