Interest Rate Models - Theory and Practice (Hardcover)

Damiano Brigo

ISBN 10: 3540221492 / ISBN 13: 9783540221494

Published by Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2006

About this Item

Hardcover. 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. 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 a new chapter. A special focus here is devoted to the pricing of convertible bonds and inflation-linked derivatives.Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives - mostly Credit Default Swaps (CDS) and CDS Options - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Seller Inventory # 9783540221494

Bibliographic Details

• Title: Interest Rate Models - Theory and Practice (Hardcover)
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin
• Publication Date: 2006
• Language: English
• ISBN 10: 3540221492
• ISBN 13: 9783540221494
• Binding: Hardcover
• Edition: 2nd Edition
• Condition: new

About this title

Synopsis

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 framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

From the Publisher

Please note that the first edition is out of print and the second will be available in March 2006 (ISBN 3540221492)