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...
Đã lưu trong:
| Những tác giả chính: | , , |
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| Định dạng: | Livre numérique |
| Ngôn ngữ: | Anglais |
| Được phát hành: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Phiên bản: | 2nd ed. 2006. |
| Loạt: | Springer Finance
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| Những chủ đề: | |
| Truy cập trực tuyến: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Chú thích: |
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 |
Mục lục:
- 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