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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 instantaneous correlation on the calibration outputs.
A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach.
Examples of calibrations to real market data are now considered. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps CDS , CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.
Definitions and Notation. Pages No-Arbitrage Pricing and Numeraire Change. Front Matter Pages One-factor short-rate models. Two-Factor Short-Rate Models. Including the Smile in the LFM. Local-Volatility Models. Stochastic-Volatility Models. Uncertain-Parameter Models. Pricing of Inflation-Indexed Derivatives. Inflation-Indexed Swaps. Calibration to market data. Introducing Stochastic Volatility.
Pricing Hybrids with an Inflation Component. Introduction and Pricing under Counterparty Risk. Intensity Models. Back Matter Pages About this book Introduction The 2nd edition of this successful book has several new features. Bocconi University Milano Italy. Buy options.
Interest Rate Models — Theory and Practice
It seems that you're in Germany. We have a dedicated site for Germany. Authors: Brigo , Damiano, Mercurio , Fabio. The 2nd edition of this successful book has several new features.
Interest Rate Models - Theory and Practice