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Mathematics - Quantitative Finance | Interest Rate Models - Theory and Practice - With Smile, Inflation and Credit

Interest Rate Models - Theory and Practice

With Smile, Inflation and Credit

Brigo, Damiano, Mercurio, Fabio

2nd ed. 2006, LVI, 982 p.

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The 2nd edition of this successful book has been extensively updated and expanded. The book offers a balance between the practitioner's viewpoint and the theoretical viewpoint. In contrast to other academic books on interest rate modelling which deal with HJM formulation, the text reflects the current market emphasis on LIBOR and Swap market models.

The book brings the practitioner's viewpoint together with the theoretical viewpoint. Mathematics is kept to an appropriate minimum; the book includes many numerical examples, while remaining both rigorous and understandable.

Considerable new material has been added. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction is new in this edition, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

Additional new material includes sections on local-volatility dynamics; a new chapter addressing the fast-growing interest in hybrid products, with a special focus on the pricing of inflation-linked derivatives; and three new chapters devoted to credit, discussing Credit Derivatives, including Credit Def

Content Level » Research

Keywords » Interest rates - JEL classification: G12, G13, E43 - Stochastic calculus - calculus - calibration - modeling - pricing

Related subjects » Business, Economics & Finance - Probability Theory and Stochastic Processes - Quantitative Finance

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