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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo, Fabio Mercurio is a nonfiction available to read on EtoBox.

What is Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) about?

"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 frame

Who reads Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)?

Author

Damiano Brigo, Fabio Mercurio

Publisher

Springer Berlin Heidelberg : Imprint: Springer

Published

2001

Language

EN

ISBN

9783540221494

Category

nonfiction

Subjects

Mathematics, Finance, Science

Updated

2026-03-24