Damiano Brigo

(Author)

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (2006. Corr. 3rd Printing 2007)Hardcover - 2006. Corr. 3rd Printing 2007, 4 August 2006

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (2006. Corr. 3rd Printing 2007)
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Part of Series
Springer Finance
Print Length
982 pages
Language
English
Publisher
Springer
Date Published
4 Aug 2006
ISBN-10
3540221492
ISBN-13
9783540221494

Description

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.

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.

Examples of calibrations to real market data are now considered.

The fast-growing interest for hybrid products has led to a new chapter. 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. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

Product Details

Authors:
Damiano BrigoFabio Mercurio
Book Edition:
2006. Corr. 3rd Printing 2007
Book Format:
Hardcover
Country of Origin:
DE
Date Published:
4 August 2006
Dimensions:
23.88 x 16.26 x 6.6 cm
ISBN-10:
3540221492
ISBN-13:
9783540221494
Language:
English
Location:
Berlin, Heidelberg
Pages:
982
Publisher:
Weight:
1632.93 gm

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