| 书目名称 | Interest Rate Models - Theory and Practice | | 副标题 | With Smile, Inflatio | | 编辑 | Damiano Brigo,Fabio Mercurio | | 视频video | http://file.papertrans.cn/471/470904/470904.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 |  | | 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 fr | | 出版日期 | Book 2006Latest edition | | 关键词 | Interest rates; JEL classification: G12, G13, E43; Stochastic calculus; calculus; calibration; modeling; p | | 版次 | 2 | | doi | https://doi.org/10.1007/978-3-540-34604-3 | | isbn_softcover | 978-3-662-51743-7 | | isbn_ebook | 978-3-540-34604-3Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2006 |
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