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

作者：DamianoBrigo/FabioMercurio

出版社：Springer

副标题：WithSmile,InflationandCredit

出版年：2006-8-2

页数：1038

定价：USD109.00

装帧：Hardcover

丛书：springerfinance

ISBN：9783540221494

内容简介
······

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.

目录
······

Preface

Abbreviations and Notation

Part I. BASIC DEFINITIONS AND NO ARBITRAGE

1. Definitions and Notation

2. No-Arbitrage Pricing and Numeraire Change

Part II. FROM SHORT RATE MODELS TO HJM

3. One-factor short-rate models

4. Two-Factor Short-Rate Models

5. The Heath-Jarrow-Morton (HJM) Framework

Part III: MARKET MODELS

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

Part IV: THE VOLATILITY SMILE

9. Including the Smile in the LFM

10. Local-Volatility Models

11. Stochastic-Volatility Models

12. Uncertain-Parameter Models

Part V: EXAMPLES OF MARKET PAYOFFS

13. Pricing Derivatives on a Single Interest-Rate Curve

14. Pricing Derivatives on Two Interest-Rate Curves

Part VI. INFLATION

15. Pricing of Inflation-Indexed Derivatives

16. Inflation-Indexed Swaps

17. Inflation-Indexed Caplets/Floorlets

18. Calibration to market data

19. Introducing Stochastic Volatility

20. Pricing Hybrids with an Inflation Component

Part VII. CREDIT

21. Introduction and Pricing under Counterparty Risk

22. Intensity Models

23. CDS Options Market Models

Part VIII. APPENDICES

A. Other Interest-Rate Models

B. Pricing Equity Derivatives under Stochastic Rates

C. A Crash Intro to Stochastic Differential Equations and Poisson Processes

D. A Useful Calculation

E. A Second Useful Calculation

F. Approximating Diffusions with Trees

G. Trivia and Frequently Asked Questions

H. Taking to the Traders

References

Index

评论 ······

太他妈难了！研究生都不敢去读，我看了两章，受不了，还是当source的好材料啊

ch21-ch23

谁不看谁后悔。。。。

细节丰富。希望作者再接再厉写个第三版，把PDE方法加进去，去掉树方法。inflation衍生品那块能够再扩充一点就好了，现在这块很火啊。

• 下载电子版：下载地址
• 购买纸质版：京东商城
• 购买纸质版：当当网