Interest rate models : theory and practice : with smile, inflation and credit
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 outpu...
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| Auteurs principaux: | , , |
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| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado em: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edição: | 2nd ed. 2006. |
| Colecção: | Springer Finance
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| Assuntos: | |
| Acesso em linha: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 05 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Interest rate models, theory and practice, with smile, inflation and credit, Damiano Brigo, Fabio Mercurio, 2nd edition, 2006, Berlin, Springer, 1 vol. (LIV-981 p.), Springer finance, 3-540-22149-2 • Interest Rate Models - Theory and Practice, Texte imprimé, 9783540802099 • Interest rate models, theory and practice, with smile, inflation and credit, Damiano Brigo, Fabio Mercurio, 2nd edition, 2006, Berlin, Springer, 1 vol. (LIV-981 p.), Springer finance, 3-540-22149-2 • Interest Rate Models - Theory and Practice, Texte imprimé, 9783662517437 |
| Resumo: | 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 |
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| Descrição do item: | Description d'après consultation du 05 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografia: | Bibliogr. p. [951]-966. Index |
| ISBN: | 354034604X (e-book) 9783540346043 (e-book) |
| ISSN: | 2195-0687 |
| Acesso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |