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Titlebook: Interest Rate Models Theory and Practice; Damiano Brigo,Fabio Mercurio Book 20011st edition Springer-Verlag Berlin Heidelberg 2001 Interes

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书目名称Interest Rate Models Theory and Practice
编辑Damiano Brigo,Fabio Mercurio
视频videohttp://file.papertrans.cn/471/470903/470903.mp4
概述Authors work as Head of Credit Models and Head of Financial Models at an Italian bank, this first-hand contact with trading gives them a practical insights on the subject.Accessible overview of intere
丛书名称Springer Finance
图书封面Titlebook: Interest Rate Models Theory and Practice; Damiano Brigo,Fabio Mercurio Book 20011st edition Springer-Verlag Berlin Heidelberg 2001 Interes
描述.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 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
出版日期Book 20011st edition
关键词Interest rates; JEL classification: G12, G13, E43; Stochastic Differential Equations; Stochastic calcul
版次1
doihttps://doi.org/10.1007/978-3-662-04553-4
isbn_ebook978-3-662-04553-4Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer-Verlag Berlin Heidelberg 2001
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Damiano Brigo,Fabio MercurioPC-K6a, PC-K6b, PC-K6c, PC-K16 and PC-K17 according to the mutated gene are transmitted in an autosomal dominant way with occurrence of spontaneous mutations in about 30% of cases. Main clinical features include nail thickening (pachyonychia) and subungual hyperkeratosis, focal palmoplantar keratode
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No-Arbitrage Pricing and Numeraire Changecial market. Roughly speaking, absence of arbitrage is equivalent to the impossibility to invest zero today and receive tomorrow a nonnegative amount that is positive with positive probability. In other words, two portfolios having the same payoff at a given future date must have the same price toda
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One-factor short-rate modelsss r. Modeling directly such dynamics is very convenient since all fundamental quantities (rates and bonds) are readily defined, by no-arbitrage arguments, as the expectation of a functional of the process ..
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Cases of Calibration of the LIBOR Market Modelata. We study several cases based on different instantaneous-volatility parameterizations. We will also point out a particular parameterization allowing for a closed-form-formulas calibration to swaption volatilities and establishing a one to one correspondence between swaption volatilities and LFM
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Monte Carlo Tests for LFM Analytical Approximationshe LFM, by resorting to Monte Carlo simulation of the LFM dynamics. We first explain what kind of rates we are dealing with, and then move to the volatility part. Section 8.2 gives a plan of the tests on the swaption-volatility approximations and the subsequent section presents results in detail. In
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Other Interest-Rate Modelspters. All models are arbitrage free, and we will not discuss no-arbitrage implications further. Instead, we synthetically explain in what these models differ from the previous models and what are their original features. We also give references for the readers who might wish to deepen their knowled
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