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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Damiano Brigo
€ 187.07
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Description for Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Hardcover. This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models. Series: Springer Finance. Num Pages: 982 pages, 131 black & white tables, biography. BIC Classification: KFF. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 239 x 166 x 41. Weight in Grams: 1682.
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. ... Read more
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. ... Read more
Product Details
Publisher
Springer
Format
Hardback
Publication date
2006
Series
Springer Finance
Condition
New
Weight
1666g
Number of Pages
982
Place of Publication
Berlin, Germany
ISBN
9783540221494
SKU
V9783540221494
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
From the reviews: SHORT BOOK REVIEWS The text is no doubt my favorite on the subject of interest rate modeling. It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical (finance) background with expert practice knowledge (they both work in ... Read more