Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo, Fabio Mercurio
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo, Fabio Mercurio PDF, ePub eBook D0wnl0ad
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.
From reader reviews:
Beth Stewart:
The event that you get from Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) is the more deep you digging the information that hide inside words the more you get enthusiastic about reading it. It doesn't mean that this book is hard to understand but Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) giving you enjoyment feeling of reading. The author conveys their point in specific way that can be understood simply by anyone who read this because the author of this reserve is well-known enough. This book also makes your own personal vocabulary increase well. Making it easy to understand then can go along with you, both in printed or e-book style are available. We recommend you for having this kind of Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) instantly.
Pamela Cole:
The guide with title Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) contains a lot of information that you can find out it. You can get a lot of help after read this book. This particular book exist new know-how the information that exist in this book represented the condition of the world at this point. That is important to yo7u to be aware of how the improvement of the world. This kind of book will bring you with new era of the the positive effect. You can read the e-book in your smart phone, so you can read it anywhere you want.
Stephanie Carter:
People live in this new time of lifestyle always make an effort to and must have the time or they will get wide range of stress from both lifestyle and work. So , when we ask do people have spare time, we will say absolutely yes. People is human not really a huge robot. Then we request again, what kind of activity are there when the spare time coming to you of course your answer will probably unlimited right. Then ever try this one, reading guides. It can be your alternative with spending your spare time, often the book you have read is actually Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance).
Read Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo, Fabio Mercurio for online ebook
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo, Fabio Mercurio Free PDF d0wnl0ad, audio books, books to read, good books to read, cheap books, good books, online books, books online, book reviews epub, read books online, books to read online, online library, greatbooks to read, PDF best books to read, top books to read Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo, Fabio Mercurio books to read online.
No comments:
Post a Comment