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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 sucessful 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 a new chapter. 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 a new chapter. A special focus here is devoted to the pricing of convertible bonds and inflation-linked derivatives. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-

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

Author

Damiano Brigo, Fabio Mercurio

Publisher

Springer-Verlag Berlin Heidelberg

Published

2006

Language

EN

ISBN

9783540346043

Category

nonfiction

Subjects

Business, Mathematics, Science

Updated

2026-03-24