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Viser: Interest Rate Models - Theory and Practice - With Smile, Inflation and Credit

Interest Rate Models - Theory and Practice, 2. udgave
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Interest Rate Models - Theory and Practice Vital Source e-bog

Damiano Brigo og Fabio Mercurio
(2007)
Springer Nature
1.169,00 kr.
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Interest Rate Models - Theory and Practice, 2. udgave

Interest Rate Models - Theory and Practice Vital Source e-bog

Damiano Brigo og Fabio Mercurio
(2007)
Springer Nature
759,00 kr.
Leveres umiddelbart efter køb
Interest Rate Models - Theory and Practice, 2. udgave

Interest Rate Models - Theory and Practice Vital Source e-bog

Damiano Brigo og Fabio Mercurio
(2007)
Springer Nature
584,00 kr.
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Interest Rate Models - Theory and Practice, 2. udgave

Interest Rate Models - Theory and Practice Vital Source e-bog

Damiano Brigo og Fabio Mercurio
(2007)
Springer Nature
1.197,00 kr.
Leveres umiddelbart efter køb
Interest Rate Models - Theory and Practice - With Smile, Inflation and Credit, 2. udgave

Interest Rate Models - Theory and Practice

With Smile, Inflation and Credit
Damiano Brigo og Fabio Mercurio
(2007)
Sprog: Engelsk
Springer Berlin / Heidelberg
1.421,00 kr.
Print on demand. Leveringstid vil være ca 2-3 uger.

Detaljer om varen

  • 2. Udgave
  • Vital Source searchable e-book (Fixed pages)
  • Udgiver: Springer Nature (September 2007)
  • Forfattere: Damiano Brigo og Fabio Mercurio
  • ISBN: 9783540346043
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.
Licens varighed:
Bookshelf online: 5 år fra købsdato.
Bookshelf appen: ubegrænset dage fra købsdato.

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Detaljer om varen

  • 2. Udgave
  • Vital Source 180 day rentals (fixed pages)
  • Udgiver: Springer Nature (September 2007)
  • Forfattere: Damiano Brigo og Fabio Mercurio
  • ISBN: 9783540346043R180
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.
Licens varighed:
Bookshelf online: 180 dage fra købsdato.
Bookshelf appen: 180 dage fra købsdato.

Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
Copy: højest 2 sider i alt kan kopieres (copy/paste)

Detaljer om varen

  • 2. Udgave
  • Vital Source 90 day rentals (fixed pages)
  • Udgiver: Springer Nature (September 2007)
  • Forfattere: Damiano Brigo og Fabio Mercurio
  • ISBN: 9783540346043R90
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.
Licens varighed:
Bookshelf online: 90 dage fra købsdato.
Bookshelf appen: 90 dage fra købsdato.

Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
Copy: højest 2 sider i alt kan kopieres (copy/paste)

Detaljer om varen

  • 2. Udgave
  • Vital Source 365 day rentals (fixed pages)
  • Udgiver: Springer Nature (September 2007)
  • Forfattere: Damiano Brigo og Fabio Mercurio
  • ISBN: 9783540346043R365
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.
Licens varighed:
Bookshelf online: 5 år fra købsdato.
Bookshelf appen: 5 år fra købsdato.

Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
Copy: højest 2 sider i alt kan kopieres (copy/paste)

Detaljer om varen

  • 2. Udgave
  • Hardback: 981 sider
  • Udgiver: Springer Berlin / Heidelberg (August 2007)
  • Forfattere: Damiano Brigo og Fabio Mercurio
  • ISBN: 9783540221494

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 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.

Basic Definitions and No Arbitrage.- Definitions and Notation.- No-Arbitrage Pricing and Numeraire Change.- From Short Rate Models to HJM.- One-factor short-rate models.- Two-Factor Short-Rate Models.- The Heath-Jarrow-Morton (HJM) Framework.- Market Models.- The LIBOR and Swap Market Models (LFM and LSM).- Cases of Calibration of the LIBOR Market Model.- Monte Carlo Tests for LFM Analytical Approximations.- The Volatility Smile.- Including the Smile in the LFM.- Local-Volatility Models.- Stochastic-Volatility Models.- Uncertain-Parameter Models.- Examples of Market Payoffs.- Pricing Derivatives on a Single Interest-Rate Curve.- Pricing Derivatives on Two Interest-Rate Curves.- Inflation.- Pricing of Inflation-Indexed Derivatives.- Inflation-Indexed Swaps.- Inflation-Indexed Caplets/Floorlets.- Calibration to market data.- Introducing Stochastic Volatility.- Pricing Hybrids with an Inflation Component.- Credit.- and Pricing under Counterparty Risk.- Intensity Models.- CDS Options Market Models.
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