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Interest Rate Models - Theory and Practice

By Damiano Brigo

Product Image: Interest Rate Models - Theory and Practice

Interest Rate Models - Theory and Practice

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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
Edition:
2
Number of Pages:
1040
Release Date:
2006-08-04
Publication Date:
2006-08-04
Publisher:
Springer
Languages:
Original: English
ISBN10:
3540221492
ISBN13:
9783540221494
GPSR Manufacturer Reference:
[email protected]
Weight:
1701 g
Height:
160 cm
Width:
241 cm
Thickness:
61 cm

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The items bear minimal signs of past use, such as light scratches or memories in the form of markings. These signs of wear give the items a charming character and tell stories of their previous owners, while not affecting their functionality.
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