BRIGO INTEREST RATE MODELS THEORY AND PRACTICE PDF

Sample text from the book preface , featuring a description by chapter. Extended table of contents , where the extended table of contents is available. Praise for the first and second editions , where short reviews or comments from colleagues are reported. Places on the web where the book can be ordered. One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: 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.

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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. 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. For more information, go to our eBook FAQs. At Dymocks, we give you the option to choose to wait for your order and save on postage or to have each item of your order dispatched as soon as they reach our warehouse, via regular or express post.

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DIGNITET INSTRUCTIONS PDF

Interest Rate Models - Theory and Practice

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. 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. A special focus here is devoted to the pricing of inflation-linked derivatives.

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Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit

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Interest Rate Models — Theory and Practice

It seems that you're in Germany. We have a dedicated site for Germany. Authors: Brigo , Damiano, Mercurio , Fabio. The 2nd edition of this successful book has several new features.

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