Damiano Brigo

(Author)

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Softcover Reprint of the Original 2nd 2006)Paperback - Softcover Reprint of the Original 2nd 2006, 23 October 2016

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Softcover Reprint of the Original 2nd 2006)
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Part of Series
Springer Finance
Print Length
982 pages
Language
English
Publisher
Springer
Date Published
23 Oct 2016
ISBN-10
3662517434
ISBN-13
9783662517437

Description

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.

Product Details

Authors:
Damiano BrigoFabio Mercurio
Book Edition:
Softcover Reprint of the Original 2nd 2006
Book Format:
Paperback
Country of Origin:
NL
Date Published:
23 October 2016
Dimensions:
23.39 x 15.6 x 5.18 cm
ISBN-10:
3662517434
ISBN-13:
9783662517437
Language:
English
Location:
Berlin, Heidelberg
Pages:
982
Publisher:
Weight:
1424.28 gm

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