BRIGO MERCURIO INTEREST RATE MODELS THEORY AND PRACTICE PDF

Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II By Damiano Brigo, Fabio Mercurio. Basic concepts of stochastic modeling in interest rate theory, in particular the References. As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. Mercurio. Interest rate models—theory and practice.

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The three final new chapters of this second edition are devoted to credit.

Interest-Rate Models: Theory and Practice – Research Portal, King’s College, London

My library Help Advanced Book Search. With Smile, Inflation and 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 CDSCDS Options and Constant Maturity CDS – are discussed, building on the basic short rate-models and market models introduced earlier for the midels market.

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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 rage exogenous instantaneous correlation on the calibration outputs Damiano BrigoFabio Mercurio. Selected pages Title Page.

Interest Rate Models – Theory and Practice: Account Options Sign in. Examples of calibrations to real market data are now considered.

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. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters.

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 2nd edition of this successful book has several new features. 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.

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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.

Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

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