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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
Hardcover
Series: Springer Finance
Business GeneralInvesting & FinanceProbability & Statistics
ISBN13: 9783540221494
Publisher: Springer
Published: Aug 4 2006
Pages: 982
Weight: 3.60
Height: 2.60 Width: 6.40 Depth: 9.40
Language: English
When implementing mathematical models for pricing interest rate derivatives one must address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book explains how models work and how to implement them for concrete pricing.
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, 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.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. 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.
The fast-growing interest for hybrid products has led to a new chapter, with a special focus devoted to the pricing of convertible bonds and inflation-linked derivatives.
1 different editions
Also available
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
Brigo, Damiano
Mercurio, Fabio
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Brigo, Damiano
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
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Mercurio, Fabio
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