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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One has to address a number of practical issues that are often neglected in the theory, such as the choice of a satisfactory model, the calibration of the selected model to a set of market data, the implementation of efficient routines, and so on.
In Mathematical Reviews, d. This is the publisher web site. Extended table of contentswhere the rste table of contents is available. 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.
Interest Rate Models Theory and Practice
Interest Rate Models – Theory and Practice: Overall, this is by far the best interest rate models book in the market. The three final new chapters of briigo second edition are devoted to credit.
My library Interesf Advanced Book Search. Advanced undergraduate students, graduate students and researchers should benefit as well from seeing how some sophisticated mathematics can be used in concrete financial problems. This is an area that is rarely covered by books on mathematical finance. Praise for the Second edition. 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 technique and of the exogenous instantaneous correlation on the calibration outputs It is true intereest every month a new book on financial modeling or on mathematical finance comes out, but this is a good one.
Dynamic Term Structure Modeling: Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
New sections on local-volatility dynamics, and on interestt volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Since Credit Derivatives are interfst fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modelingCredit Derivatives — mostly Credit Default Swaps CDSCDS Options and Constant Maturity CDS – are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.
Interest Rate Models – Theory and Practice. The calibration intterest 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. If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice.
The book will most likely become … one of the standard references in the area. NawalkhaGloria M. For those who have a sufficiently strong mathematical background, this book is a must.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new part. A special focus here is devoted to the pricing of inflation-linked derivatives.
The fast-growing interest for hybrid products has led to a new chapter. Damiano BrigoFabio Mercurio.
Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books
Points of Interest, book review for Risk Magazine, November Examples of calibrations to real market data are now considered. User Review – Flag as inappropriate Necessity for a future quant, needed by bankers. Sample text from the book prefacefeaturing a description by chapter.
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. Examples of calibrations to real market data are now considered. The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice. References to this book Dynamic Term Structure Modeling: The three final new chapters of this second edition are devoted to credit.
From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus. Therefore, this book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing.
Praise for the first edition. Beliaeva Limited preview – The fact that the authors combine a strong mathematical finance background with expert practice knowledge they both work in a bank contributes hugely to its format.
Places on the web where the book can be model. 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. Its main goal is to construct some kind of bridge between theory and practice in this field. This is a very detailed course on interest rate models.
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.