Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Brigo, Damiano; Mercurio, Fabio

ISBN 10: 3540221492 / ISBN 13: 9783540221494

Published by Springer, 2006

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Seller Inventory # Q-3540221492

Bibliographic Details

• Title: Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
• Publisher: Springer
• Publication Date: 2006
• Language: English
• ISBN 10: 3540221492
• ISBN 13: 9783540221494
• Binding: hardcover
• Edition: 2nd Edition
• Condition: New
• Weight: 55 ounces

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)