Interest rate models - Theory and practice

With smile, inflation and credit

Damiano Brigo, Fabio Mercurio - Collection Springer Finance

980 pages, parution le 01/12/2005 (2^eme édition)

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Résumé

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. 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 new chapters. 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.

L'avis du libraire Eyrolles

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.

Sommaire

Basic definitions and no arbitrage
From short rate models to HJM
Market models
The volatility smile
Examples of market payoffs
Inflation
Credit

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Damiano Brigo, Fabio Mercurio
Collection	Springer Finance
Parution	01/12/2005
Édition	2^eme édition
Nb. de pages	980
Format	16 x 24
Couverture	Relié
Poids	1523g
Intérieur	Noir et Blanc
EAN13	9783540221494
ISBN13	978-3-540-22149-4