Interest Rate Models Theory and Practice - Softcover

Brigo, Damiano; Mercurio, Fabio

Softcover

ISBN 10: 3662045540 ISBN 13: 9783662045541

Publisher: Springer, 2014

Synopsis

I. Models: Theory and Implementation.- 1. Definitions and Notation.- 2. No-Arbitrage Pricing and Numeraire Change.- 3. One-factor short-rate models.- 4. Two-Factor Short-Rate Models.- 5. The Heath-Jarrow-Morton (HJM) Framework.- 6. The LIBOR and Swap Market Models (LFM and LSM).- 7. Cases of Calibration of the LIBOR Market Model.- 8. Monte Carlo Tests for LFM Analytical Approximations.- 9. Other Interest-Rate Models.- II. Pricing Derivatives in Practice.- 10. Pricing Derivatives on a Single Interest-Rate Curve.- 11. Pricing Derivatives on Two Interest-Rate Curves.- 12. Pricing Equity Derivatives under Stochastic Rates.- III. Appendices.- A. A Crash Introduction to Stochastic Differential Equations.- B. A Useful Calculation.- C. Approximating Diffusions with Trees.- D. Talking to the Traders.- References.

Edition details

• Publisher: Springer
• Publication date: 2014
• Language: English
• ISBN 10: 3662045540
• ISBN 13: 9783662045541
• Binding: Paperback
• Number of pages: 560