back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.
|Published (Last):||23 March 2012|
|PDF File Size:||6.25 Mb|
|ePub File Size:||2.73 Mb|
|Price:||Free* [*Free Regsitration Required]|
Overall, this is by far the best interest rate models book in the market.
Professional Area of Damiano Brigo’s web site
It was primarily the interest of this reviewer in analytical models rather than Monte Carlo simulations, even though there is a thorough discussion of the latter in this book, including the most important topic of the standard error estimation in simulation models.
The three final new chapters of this second edition are devoted to credit. Points of Interest, book review for Risk Magazine, November 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. Damiano BrigoFabio Mercurio.
Interest-Rate Models: Theory and Practice – Research Portal, King’s College, London
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new part. A clear benefit of the approach presented in this book is that practice can help to appreciate theory thus generating a feedback that is one of the most intriguing aspects of modeling and more generally of scientific investigation.
The 2nd edition of this successful book has several new features. New chapters on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter.
If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice. Rastreie seus pedidos recentes. 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.
This filtration can be viewed as essentially a collection of events that occur or not depending on the history of the stock price. This qnd to the question as to what class of contingent claims a group of investors can actually attain, where a contingent claim is viewed as a nonnegative random variable which is measurable with respect to a filtration of a probability space.
In this discussion the authors focus on a portfolio consisting of riskless security bond and a risky security stock that pays no dividend. The authors want to go beyond this model by searching for one that will reproduce any observed term structure of interest rates but that brigk preserve analytical tractability.
Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. The authors give an overview modelx these interesy for the curious reader but do not use them in the book. The modeling of interest rates is now a multi-million dollar business, and this is likely to grow in the years ahead as worries about quantitative easing, government budgets, housing markets, and corporate borrowing have shown no sign of abatement.
The fast-growing interest for hybrid products has led to new chapters. Fabozzi Series Book English Edition.
Interest Rate Models Theory and Practice
One has to address a number of practical issues that are often neglected in the theory, such as the choice of a satisfactory model, the calibration of the selected model to a set of market data, the implementation of efficient routines, and so on. Places on the web where the book can be ordered. Their model can essentially be characterized by an integral rage for discount bonds in terms of a family knterest kernel functions. The object is to follow the time evolution of the price of these two securities.
But the Vasicek model allows negative interest rates and is mean reverting. The authors practicd are aware of such reactions to financial modeling, and actually devote the end of the book to a hypothetical conversation between traders and modelers but omitting some of the vituperation that can occur between these groups. Visualizar ou modificar seus pedidos em sua conta.
The calibration must then be done simultaneously when this is not the case. It perfectly combines mathematical depth, historical perspective and practical relevance. Interestingly, the authors devote a part of the book to the connection between interest rate models and credit derivatives, wherein they argue that credit derivatives are not only interesting in and of themselves, but that the tools used to model interest rate swaps can be applied to credit default swaps to a large degree.
The 2nd edition of this successful book has several new features.
The theory is interwoven with detailed numerical examples. Of particular importance is the appearance of copulas in chapter 21, which have been criticized lately for their alleged role in the “financial crisis”. A special focus here is devoted to the pricing of inflation-linked derivatives.
This is a very detailed course on interest rate models. There is also an excellent list of “theoretical” and “practical” questions in the preface that the authors use to motivate the book, along with a detailed summary of upcoming chapters.