Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably. New sections on local-volatility dynamics, and on stochastic volatility models have been Counterparty risk in interest rate payoff valuation is also considered, .
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New interedt on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. The theory is interwoven with detailed numerical examples.
The 2nd edition of this successful book has several new features. Sample text from the book prefacefeaturing a description by chapter.
The text is no doubt my favourite on the subject of interest rate modelling. Examples of calibrations to real market data are now considered. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Ratr II framework developments.
Moreover, the book can help academics develop a feeling for the practical problems in the market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular.
Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books
It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one. Praise for the first edition. I also admire the style of writing: Account Options Sign in. The authors’ applied background rqte for numerous comments on why certain models have or have not made it in practice. Especially, I would recommend this to students …. From one side, the authors would like to help quantitative analysts and moeels traders handle interest-rate derivatives with a sound theoretical apparatus.
My library Help Advanced Book Search. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
The fast-growing interest for hybrid products has led to a new chapter. Damiano BrigoFabio Mercurio. This is an area that is rarely covered by books on mathematical finance. Extended table of contentswhere the extended table of contents is available. 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.
Interest Rate Models Theory and Practice
Intefest 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. Places on the web where the ratf can be ordered. In Mathematical Reviews, d. This simultaneous attention to theory and practice is difficult to find in other available literature.
SpringerAug 9, – Mathematics – pages. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation modles and of the exogenous instantaneous correlation on the calibration outputs. A clear benefit of the approach presented in this book is that practice can help to appreciate theory thus generating a feedback that is one of the most intriguing aspects of modeling and more generally of scientific investigation.
International Statistical Institute short book reviews. One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: The old sections devoted to the smile issue in the LIBOR market model have been mofels into a new part.
Interest Rate Models – Theory and Practice. This is the book on interest rate models and should proudly stand on the bookshelf of every quantitative finance practitioner and student involved with interest rate models.
A special focus here is devoted to inrerest pricing of inflation-linked derivatives. Praise for the Second edition. Therefore, this book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing.